We are interested in studying the sensitivity of diffusion processes or their
approximations by Markov Chains with respect to a perturbation of the
coefficients.Comment: 26 page

Konakov, V.

Kozhina, A.

Menozzi, S.

ESAIM Probability and Statistics

English

arXiv

Valentin Konakov

Anna Kozhina

Stéphane Menozzi

Crossref

Stability of Densities for Perturbed Diffusions and Markov Chains

Konakov, Valentin

Kozhina, Anna

Menozzi, Stéphane

Numérisation de Documents Anciens Mathématiques

We study the sensitivity of the densities of non degenerate diffusion processes and related Markov Chains with respect to a perturbation of the coefficients. Natural applications of these results appear in models with misspecified coefficients or for the investigation of the weak error of the Euler scheme with irregular coefficients

EDP Sciences OAI-PMH repository (1.2.0)

International audienceWe 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

Stability of densities for perturbed Diffusions and Markov Chains

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Crossref

Numérisation de Documents Anciens Mathématiques

EDP Sciences OAI-PMH repository (1.2.0)

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