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

DOI10.1016/j.spa.2007.09.007zbMath1143.60044arXivmath/0611072OpenAlexW2046722053MaRDI QIDQ936396

Fabien Panloup

Publication date: 13 August 2008

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0611072

zbMATH Keywords

stochastic differential equationrate of convergenceLévy processEuler schemeinvariant distribution

Mathematics Subject Classification ID

Related Items (9)

Approximation of the distribution of a stationary Markov process with application to option pricing ⋮ Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications ⋮ Discretization of the ergodic functional central limit theorem ⋮ Unadjusted Langevin algorithm with multiplicative noise: total variation and Wasserstein bounds ⋮ Ergodic approximation of the distribution of a stationary diffusion: rate of convergence ⋮ A mixed-step algorithm for the approximation of the stationary regime of a diffusion ⋮ Approximation of the invariant distribution for a class of ergodic jump diffusions ⋮ Sharp non-asymptotic concentration inequalities for the approximation of the invariant distribution of a diffusion ⋮ Recursive computation of invariant distributions of Feller processes

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