A probabilistic interpretation of the parametrix method (Q894801): Difference between revisions

The goal of the paper is to introduce a probabilistic interpretation of the parametrix method to construct fundamental solutions of evolution equations based on semigroups. This permits the authors not only to re-express the arguments of the method in probabilistic terms, but also to introduce an alternative Monte Carlo method of simulation. This leads to the natural emergence of the difference between the generators of the process and its parametrix in the same manner as the concept of derivative appears in the classical Taylor expansion.