Stability of Densities for Perturbed Diffusions and Markov Chains

V Konakov (1) , A Kozhina (1) , S Menozzi (1, 2)

1 Higher School of Economics
2 LaMME - Laboratoire de Mathématiques et Modélisation d'Evry

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.

Mots clés: Diffusion Processes; Parametrix; Holder Coefficients

Domaines: Probabilités [math.PR]

V Konakov, A Kozhina, S Menozzi. Stability of Densities for Perturbed Diffusions and Markov Chains. ESAIM: Probability and Statistics, 2017, 21, pp.88-112. ⟨hal-01169685v3⟩