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Short Communications

Stability of densities for perturbed degenerate diffusions

A. Kozhina


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

DOI: 10.4213/tvp5074

 English version: Theory of Probability and its Applications, 2017, 61:3, 489–499

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