Stability of Densities for Perturbed Diffusions and Markov Chains
Résumé
We 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.
Domaines
Probabilités [math.PR]
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ARTICLE_ANNA_VALENTIN_S_ESAIM_REVISION_021116.pdf (308.01 Ko)
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