Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations

DOI10.1016/J.SPA.2020.03.016OpenAlexW3016688278WikidataQ115341138 ScholiaQ115341138MaRDI QIDQ2196378FDOQ2196378

Authors: Patrik Andersson, Arturo Kohatsu-Higa, Tomooki Yuasa 

Publication date: 2 September 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2020.03.016

zbMATH Keywords

Monte Carlo methodsstochastic differential equationsexpansionsparametrix

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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Cited In (5)

• Second-order stochastic differential equation model as an alternative for the ALT and CALT models
• The stochastic second-order perturbation technique in the finite difference method
• Title not available (Why is that?)
• Integration by parts formula for killed processes: a point of view from approximation theory
• A Stochastic Interpretation of the Parametrix Method

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