Skip to Main content Skip to Navigation
Theses

Approximation récursive du régime stationnaire d'une Equation Differentielle Stochastique avec sauts

Abstract : The main aim of this thesis is to build and to study some procedures in view to the simulation of the stationary regime of a Lévy driven SDE. Inspired by some works by
Lamberton&Pagès and Lemaire in the Brownian diffusions framework, our methods based on some « exact » or « approximate » Euler schemes with decreasing step provide an efficient way to simulate the invariant distribution of such process, and more generally, the global law of such process when stationary.
This work can be applied in some various domains. Some of these theoretical or practical applications are developed in the manuscript (a.s. CLT for stable laws, limit theorems in extrem value theory, option pricing for stochastic volatility models when the volatility is stationary...).
Document type :
Theses
Complete list of metadata

https://tel.archives-ouvertes.fr/tel-00120508
Contributor : Fabien Panloup <>
Submitted on : Friday, December 15, 2006 - 12:17:04 PM
Last modification on : Wednesday, December 9, 2020 - 3:14:35 PM
Long-term archiving on: : Tuesday, April 6, 2010 - 7:38:11 PM

Identifiers

  • HAL Id : tel-00120508, version 1

Citation

Fabien Panloup. Approximation récursive du régime stationnaire d'une Equation Differentielle Stochastique avec sauts. Mathématiques [math]. Université Pierre et Marie Curie - Paris VI, 2006. Français. ⟨tel-00120508⟩

Share

Metrics

Record views

529

Files downloads

249