Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process
Fabien Panloup
Abstract
We investigate some recursive procedures based on an exact or ``approximate'' Euler scheme with decreasing step in vue to computation of invariant measures of solutions to S.D.E. driven by a Lévy process. Our results are valid for a large class of S.D.E. that can be governed by Lévy processes with few moments or can have a weakly mean-reverting drift, and permit to find again the a.s. C.L.T for stable processes.
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