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

DOI10.1016/J.SPA.2020.03.016MaRDI QIDQ2196378zbMATH OpenOpenAlexWikidataFDO

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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• Unbiased simulation of stochastic differential equations using parametrix expansions
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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
• scientific article; zbMATH DE number 1343499 (Why is no real title available?)
• 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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