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Teoriya Veroyatnostei i ee Primeneniya, 2016, Volume 61, Issue 3, Pages 570–579
DOI: https://doi.org/10.4213/tvp5074 (Mi tvp5074) 		 
This article is cited in 1 scientific paper (total in 1 paper)

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Stability of densities for perturbed degenerate diffusions

A. Kozhina
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DOI: https://doi.org/10.4213/tvp5074
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 nondegenerate component. Under suitable (quite sharp) assumptions we quantify how the perturbation of the SDE affects the density. Natural applications of these results appear in various fields from mathematical finance to kinetic models.
Keywords: diffusion processes, Markov chains, parametrix, Hölder coefficients, bounded drifts.
Received: 15.02.2016
English version:
Theory of Probability and its Applications, 2017, Volume 61, Issue 3, Pages 489–499
DOI: https://doi.org/10.1137/S0040585X97T988290
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. Kozhina, “Stability of densities for perturbed degenerate diffusions”, Teor. Veroyatnost. i Primenen., 61:3 (2016), 570–579; Theory Probab. Appl., 61:3 (2017), 489–499
Citation in format AMSBIB
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    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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