We study some recursive procedures based on exact or approximate Euler schemes with decreasing step to compute the invariant measure of Lévy driven SDEs. We prove the convergence of these procedures toward the invariant measure under weak conditions on the moment of the Lévy process and on the mean-reverting of the dynamical system. We also show that an a.s. CLT for stable processes can be derived from our main results. Finally, we illustrate our results by several simulations.
Publié le : 2008-04-15
Classification:
Stochastic differential equation,
Lévy process,
invariant distribution,
Euler scheme,
almost sure central limit theorem,
60H35,
60H10,
60J75,
60F05
@article{1206018192,
author = {Panloup, Fabien},
title = {Recursive computation of the invariant measure of a stochastic differential equation driven by a L\'evy process},
journal = {Ann. Appl. Probab.},
volume = {18},
number = {1},
year = {2008},
pages = { 379-426},
language = {en},
url = {http://dml.mathdoc.fr/item/1206018192}
}
Panloup, Fabien. Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process. Ann. Appl. Probab., Tome 18 (2008) no. 1, pp. 379-426. http://gdmltest.u-ga.fr/item/1206018192/