Stability of densities for perturbed Diffusions and Markov Chains

2015/06/29 by Konakov, V., Kozhina, A., Menozzi, S. · 2 citations
#60H10 #65C30 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1506.08758

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.

Cited by

• Asymptotic version of the parametrix method for Markov chains converging to diffusions
• Stability of densities for perturbed degenerate Diffusions

Related

• Stability of densities for perturbed degenerate Diffusions
• L₁ and L_∞ stability of transition densities of perturbed diffusions
• Density stability for some Lévy-driven Stochastic Differential Equations
• Smooth densities of the laws of perturbed diffusion processes
• Strong approximation of density dependent Markov chains on bounded domains