Computation of the invariant measure for a Lévy driven SDE: Rate of convergence |
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Authors: | Fabien Panloup |
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Institution: | Laboratoire de Probabilités et Modèles Aléatoires, Université Pierre et Marie Curie et C.N.R.S. UMR 7599, Paris, France |
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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. |
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Keywords: | 60H35 60H10 60J75 60F05 |
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