Stability of Densities for Perturbed Diffusions and Markov Chains

Abstract : We are interested in studying the sensitivity of diffusion processes or their approximations by Markov Chains with respect to a perturbation of the coefficients. As an important application, we give a first order expansion for the difference of the densities of a diffusion with Hölder coefficients and its approximation by the Euler scheme.
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Submitted on : Friday, November 25, 2016 - 2:31:30 PM
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V Konakov, A Kozhina, S Menozzi. Stability of Densities for Perturbed Diffusions and Markov Chains. ESAIM: Probability and Statistics, EDP Sciences, 2017, 21, pp.88-112. ⟨https://www.esaim-ps.org/articles/ps/abs/2017/01/ps160028/ps160028.html⟩. ⟨hal-01169685v3⟩

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