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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https://hal.archives-ouvertes.fr/hal-01169685
Contributor : Stephane Menozzi <>
Submitted on : Saturday, April 2, 2016 - 9:37:50 AM
Last modification on : Thursday, January 11, 2018 - 6:25:42 AM
Long-term archiving on : Sunday, July 3, 2016 - 12:22:27 PM

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  • HAL Id : hal-01169685, version 2

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V Konakov, A Kozhina, S Menozzi. STABILITY OF DENSITIES FOR PERTURBED DIFFUSIONS AND MARKOV CHAINS. 2016. ⟨hal-01169685v2⟩

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