Parametrix approximation of diffusion transition densities.

DOI10.1137/080742336MaRDI QIDQ7405666zbMATH OpenFDO

Authors Francesco Corielli, Paolo Foschi, Andrea Pascucci

Publication date 2010

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/080742336

Mathematics Subject Classification ID

Reaction-diffusion equations (35K57) Ultraparabolic equations, pseudoparabolic equations, etc. (35K70) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) Numerical methods (including Monte Carlo methods) (91G60)

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