Stability of densities for perturbed diffusions and Markov chains
We study the sensitivity of the densities of non degenerate diffusion processes and related Markov Chains with respect to a perturbation of the coefficients. Natural applications of these results appear in models with misspecified coefficients or for the investigation of the weak error of the Euler...
Guardado en:
| Autores principales: | , , |
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| Formato: | Article (Journal) |
| Lenguaje: | inglés |
| Publicado: |
20 March 2017
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| In: |
Probability and statistics
Year: 2017, Volumen: 21, Pages: 88-112 |
| ISSN: | 1262-3318 |
| DOI: | 10.1051/ps/2016028 |
| Acceso en línea: | Verlag, Volltext: http://dx.doi.org/10.1051/ps/2016028 Verlag, Volltext: https://www.esaim-ps.org/articles/ps/abs/2017/01/ps160028/ps160028.html 
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| Notas de Autor: | Valentin Konakov, Anna Kozhina, and Stéphane Menozzi |
| Sumario: | We study the sensitivity of the densities of non degenerate diffusion processes and related Markov Chains with respect to a perturbation of the coefficients. Natural applications of these results appear in models with misspecified coefficients or for the investigation of the weak error of the Euler scheme with irregular coefficients. |
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| Notas: | Gesehen am 13.11.2018 |
| Descripción Física: | Online Resource |
| ISSN: | 1262-3318 |
| DOI: | 10.1051/ps/2016028 |