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arXiv:1506.08758 [math.PR]AbstractReferencesReviewsResources

Stability of densities for perturbed Diffusions and Markov Chains

V. Konakov, A. Kozhina, S. Menozzi

Published 2015-06-29Version 1

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 Holder coefficients and its approximation by the Euler scheme.

Comments: 39 pages
Categories: math.PR
Subjects: 60H10, 65C30
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