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JOURNALS // Upravlenie Bol'shimi Sistemami // Archive

UBS, 2022 Issue 100, Pages 6–35 (Mi ubs1123)

Systems Analysis

L1 stability of transition densities of perturbed degenerate diffusions

I. I. Bitter

Laboratory of Stochastic Analysis and its Applications, HSE University, Moscow

Abstract: In this paper, we derive a stability result for L1 perturbations of degenerate diffusions under weak regularity conditions on the coefficients. In particular, the drift terms we consider can be unbounded with at most linear growth, and the estimates reflect the transport of the initial condition by the unbounded drift through the corresponding flow. Our approach is based on the study of the distance in L1-L1 metric between the transition densities of a given diffusion and the perturbed one using the McKean – Singer parametrix expansion.

Keywords: degenerate diffusion process, unbounded drift, parametrix, perturbed diffusion, density.

UDC: 519.7
BBK: 32.81

Received: November 4, 2022
Published: November 30, 2022

DOI: 10.25728/ubs.2022.100.1



© Steklov Math. Inst. of RAS, 2024