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math.PR2015★ 2 cited
Stability of densities for perturbed Diffusions and Markov Chains
V. Konakov, A. Kozhina, S. Menozzi
We are interested in studying the sensitivity of diffusion processes or their approximations by Markov Chains with respect to a perturbation of the coefficients.
math.PR2015
Weak Error for Continuous Time Markov Chains Related to Fractional in Time P(I)DEs
M. Kelbert, V. Konakov, S. Menozzi
We provide sharp error bounds for the difference between the transition densities of some multidimensional Continuous Time Markov Chains (CTMC) and the fundamental solutions of som…