Stability of densities for perturbed diffusions and Markov chains
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Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: We are interested in studying the sensitivity of diffusion processes or their approximations by Markov Chains with respect to a perturbation of the coefficients.
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Cited in
(11)- Convergence rate of the Euler-Maruyama scheme applied to diffusion processes with \(L^q - L^{\rho}\) drift coefficient and additive noise
- Stability estimates for singular SDEs and applications
- An efficient method to simulate diffusion bridges
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- \(L_1\) and \(L_{\infty}\) stability of transition densities of perturbed diffusions
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