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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 : Friday, November 25, 2016 - 2:31:30 PM
Last modification on : Tuesday, March 17, 2020 - 3:34:49 AM
Long-term archiving on: : Monday, March 20, 2017 - 8:53:32 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. ⟨hal-01169685v3⟩

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