Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156967 | Stochastic Processes and their Applications | 2008 | 34 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Fabien Panloup,