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

DOI10.1214/105051607000000285zbMath1136.60049arXivmath/0509712OpenAlexW2019562373WikidataQ115240888 ScholiaQ115240888MaRDI QIDQ2426600

Fabien Panloup

Publication date: 23 April 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0509712

zbMATH Keywords

stochastic differential equationLévy processalmost sure central limit theoremEuler schemeinvariant distribution

Mathematics Subject Classification ID

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Cites Work

• Markov chains and stochastic stability
• Recursive computation of the invariant distribution of a diffusion
• The Euler scheme for Lévy driven stochastic differential equations
• Exchangeable fragmentation-coalescence processes and their equilibrium measures
• Logarithmic averages of stable random variables are asymptotically normal
• An adaptive scheme for the approximation of dissipative systems
• Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
• On Strong Versions of the Central Limit Theorem
• An almost everywhere central limit theorem
• Almost sure invariance principles when EX 1 2 =?
• RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT
• Sur quelques algorithmes récursifs pour les probabilités numériques
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