Stability of densities for perturbed degenerate Diffusions
Probability
2016-02-19 v1
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 non-degenerate component. Under suitable (quite sharp) assumptions we quantify how the pertubation of the SDE affects the density. Natural applications of these results appear in various fields from mathematical finance to kinetic models.
Cite
@article{arxiv.1602.04770,
title = {Stability of densities for perturbed degenerate Diffusions},
author = {A. Kozhina},
journal= {arXiv preprint arXiv:1602.04770},
year = {2016}
}
Comments
arXiv admin note: text overlap with arXiv:1506.08758