The parametrix method for skew diffusions (Q309004)
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scientific article; zbMATH DE number 6624229
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| English | The parametrix method for skew diffusions |
scientific article; zbMATH DE number 6624229 |
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The parametrix method for skew diffusions (English)
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6 September 2016
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For the one-dimensional skew diffusion given by a stochastic differential equation with local time, the transition density, its Gaussian bound, its probabilistic representation and its differentiability with respect to the initial value are obtained by using the backward parametrix method, which is a Taylor-like expansion argument for constructing the fundamental solution of partial differential equations.
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parametrix method
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skew Brownian motion
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density estimates
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skew diffusions
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fundamental solution
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stochastic differential equation
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0.752224862575531
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0.7288641929626465
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0.7217040061950684
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