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NON-ASYMPTOTIC CONCENTRATION INEQUALITY FOR AN APPROXIMATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION DRIVEN BY COMPOUND POISSON PROCESS
In this article we approximate the invariant distribution ν of an ergodic Jump Diffusion driven by the sum of a Brownian motion and a Compound Poisson process with sub-Gaussian jumps. We first construct an Euler discretization scheme with decreasing time steps, particularly suitable in cases where the driving Levy process …