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Recursive computation of the invariant distributions of Feller processes: Revisited examples and new applications

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Clément Rey
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Abstract

In this paper, we show that the abstract framework developed in Pages & Rey (2017) and inspired by Lamberton & Pages (2002) can be used to build invariant distributions for Brownian diffusion processes using the Milstein scheme and for diffusion processes with censored jump using the Euler scheme. Both studies rely on a weakly mean reverting setting for both cases. For the Milstein scheme we prove the convergence for test functions with polynomial (Wasserstein convergence) and exponential growth. For the Euler scheme of diffusion processes with censored jump we prove the convergence for test functions with polynomial growth.

Dates and versions

hal-03890803 , version 1 (08-12-2022)

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Gilles Pagès, Clément Rey. Recursive computation of the invariant distributions of Feller processes: Revisited examples and new applications. 2022. ⟨hal-03890803⟩
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