Author： Konakov Valentin Kozhina Anna Menozzi Stéphane
Publisher： Edp Sciences
E-ISSN： 1262-3318|21|issue|88-112
ISSN： 1292-8100
Source： ESAIM: Probability and Statistics, Vol.21, Iss.issue, 2017-03, pp. : 88-112
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Abstract
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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