Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process

By Fabien Panloup. 2005

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We investigate some recursive procedures based on an exact or ``approximate'' Euler scheme with decreasing step in vue to computation of invariant measures of solutions to S.D.E. driven by a Levy process. Our results are valid for a large class of S.D.E. that can be governed by Levy processes with few moments or can have a weakly mean-reverting drift, and permit to find again the a.s. C.L.T for stable processes.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/454643fe41b1e132e7c71fc0bb1e592bf8f2bd1f