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Препринт

Stability of densities for perturbed Diffusions and Markov Chains

math. arxive. Cornell University, 2016. No. 1506.08758v2.
We are interested in studying the sensitivity of diffusion processes or their approximations by Markov Chains with respect to a perturbation of the coefficients. As an important application, we give a first order expansion for the difference of the densities of a diffusion with H¨older coefficients and its approximation by the Euler scheme.