Inria / Raweb 2004
Team: Mathfi

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Team : mathfi

Section: New Results


Keywords: invariant measure.

Approximation of the invariant measure of a diffusion

Participants: E. Clément, D. Lamberton, V. Lemaire, G. Pagès.

Our work focused on the characterization of invariant measures and on processes with jumps. We are working on the approximation of the invariant probability measure for SDEs with locally lipschitz coefficients and for SDEs driven by Levy processes.

We also investigate the numerical analysis of the long run behaviour of dynamical systems (invariant measure of diffusions, recursive learning algorithm) with F. Panloup, PhD student of G. Pagès (see [73]) .


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