L₁ and L_ stability of transition densities of perturbed diffusions

DOI10.1515/ROSE-2021-2067MaRDI QIDQ2066937zbMATH OpenOpenAlexFDO

Authors Ilya Bitter, V. Konakov

Publication date 17 January 2022

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2104.00407

zbMATH Keywords

densityparametrixperturbed diffusionstabilityunbounded drift

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integral equations (60H20)

Abstract: In this paper, we derive a stability result for $L_1$ and $L_{infty}$ perturbations of diffusions under weak regularity conditions on the coefficients. In particular, the drift terms we consider can be unbounded with at most linear growth, and we do not require uniform convergence of perturbed diffusions. Instead, we require a weaker convergence condition in a special metric introduced in this paper, related to the Holder norm of the diffusion matrix differences. Our approach is based on a special version of the McKean-Singer parametrix expansion.

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Cited in

(6)

• Stability of densities for perturbed diffusions and Markov chains
• Stability of Densities for Perturbed Degenerate Diffusions
• Stability estimates for singular SDEs and applications
• An efficient method to simulate diffusion bridges
• Local limit theorems and strong approximations for Robbins-Monro procedures
• On uniform positivity of transition densities of small noise constrained diffusions

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