Stability of densities for perturbed degenerate diffusions
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 appli...
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| Main Author: | |
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| Format: | Article (Journal) |
| Language: | English |
| Published: |
28 September 2017
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| In: |
Theory of probability and its applications
Year: 2017, Volume: 61, Issue: 3, Pages: 489-499 |
| ISSN: | 1095-7219 |
| DOI: | 10.1137/S0040585X97T988290 |
| Online Access: | Verlag, Volltext: http://dx.doi.org/10.1137/S0040585X97T988290 Verlag, Volltext: https://epubs.siam.org/doi/10.1137/S0040585X97T988290 
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| Author Notes: | A.A. Kozhina |
| Summary: | 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. |
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| Item Description: | Gesehen am 07.11.2018 |
| Physical Description: | Online Resource |
| ISSN: | 1095-7219 |
| DOI: | 10.1137/S0040585X97T988290 |