Stability of densities for perturbed degenerate Diffusions

2016/02/15 by Anna Kozhina, A. Kozhina, Kozhina, A.
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #FOS: Mathematics #Mathematical Biology Tumor Growth #Probability (math.PR) #Stochastic processes and financial applications #math.PR

paper · pdf · doi:10.48550/arxiv.1602.04770

arXiv admin note: text overlap with arXiv:1506.08758

arxiv created 2016/02/15 · openalex publication_date 2016/02/15 · arxiv updated 2016/02/19 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We study the sensitivity of the densities of some Kolmogorov like degenerate diffusion processes with respect to a perturbation of the coefficients of the non-degenerate component. Under suitable (quite sharp) assumptions we quantify how the pertubation of the SDE affects the density. Natural applications of these results appear in various fields from mathematical finance to kinetic models.

Citations

• Stability of densities for perturbed Diffusions and Markov Chains

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