Stability of Densities for Perturbed Degenerate Diffusions

DOI10.1137/S0040585X97T988290MaRDI QIDQ5369330zbMATH OpenOpenAlexFDO

Authors A. A. Kozhina

Publication date 16 October 2017

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1602.04770

zbMATH Keywords

bounded driftsdiffusion processesHölder coefficientsMarkov chainsparametrix

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Transition functions, generators and resolvents (60J35) Diffusion processes (60J60)

Abstract: We study the sensitivity of the densities of some Kolmogorov like degenerate diffusion processes with respect to a perturbation of the coefficients of the non-degenerate component. Under suitable (quite sharp) assumptions we quantify how the pertubation of the SDE affects the density. Natural applications of these results appear in various fields from mathematical finance to kinetic models.

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Cited in

(6)

• \(L_1\) and \(L_{\infty}\) stability of transition densities of perturbed diffusions
• Local densities for a class of degenerate diffusions
• Weak error for the Euler scheme approximation of degenerate diffusions with nonsmooth coefficients
• Stability and functional limit theorems for random degenerate diffusions
• Densities for SDEs driven by degenerate \(\alpha\)-stable processes
• Stability of densities for perturbed diffusions and Markov chains

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