Computation of the invariant measure for a Lévy driven SDE: Rate of convergence

Abstract : We study the rate of convergence of some recursive procedures based on some "exact" or "approximate" Euler schemes which converge to the invariant measure of an ergodic SDE driven by a Lévy process. The main interest of this work is to compare the rates induced by exact and approximate Euler schemes. In our main result, we show that replacing the small jumps by a Brownian component in the approximate case preserves the rate induced by the exact Euler scheme for a large class of Lévy processes.
Type de document :
Article dans une revue
Stochastic Processes and their Applications, Elsevier, 2008, 118 (8), pp.1351-1384
Liste complète des métadonnées

Littérature citée [12 références]  Voir  Masquer  Télécharger

https://hal.archives-ouvertes.fr/hal-00111101
Contributeur : Fabien Panloup <>
Soumis le : vendredi 3 novembre 2006 - 13:33:29
Dernière modification le : mercredi 12 octobre 2016 - 01:01:33
Document(s) archivé(s) le : mardi 6 avril 2010 - 21:28:02

Identifiants

Collections

PMA | INSMI | UPMC | USPC

Citation

Fabien Panloup. Computation of the invariant measure for a Lévy driven SDE: Rate of convergence. Stochastic Processes and their Applications, Elsevier, 2008, 118 (8), pp.1351-1384. 〈hal-00111101〉

Partager

Métriques

Consultations de
la notice

221

Téléchargements du document

76