Stability estimates for invariant measures of diffusion processes, with applications to stability of moment measures and Stein kernels

Max Fathi, Dan Mikulincer

Published 2020-10-27Version 1

We investigate stability of invariant measures of diffusion processes with respect to $L^p$ distances on the coefficients, under an assumption of log-concavity. The method is a variant of a technique introduced by Crippa and De Lellis to study transport equations. As an application, we prove a partial extension of an inequality of Ledoux, Nourdin and Peccati relating transport distances and Stein discrepancies to a non-Gaussian setting via the moment map construction of Stein kernels.