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

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References

2005Stochastic Integration and Differential Equations4,594 cited
1990Stochastic Integration and Differential Equations1,195 cited
2001Lévy processes : theory and applications338 cited
2001Approximations of small jumps of Lévy processes with a view towards simulation300 cited
1997The Euler scheme for Lévy driven stochastic differential equations244 cited
2005Pricing electricity derivatives under alternative stochastic spot price models74 cited

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2012Ergodic approximation of the distribution of a stationary diffusion: Rate of convergence30 cited
2007Computation of the invariant measure for a Lévy driven SDE: Rate of convergence21 cited

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