Stochastic formulations of the parametrix method

DOI10.1051/PS/2018013zbMATH Open1403.60047OpenAlexW2887082605MaRDI QIDQ4615435FDOQ4615435

Authors: Go Yuki, Arturo Kohatsu-Higa 

Publication date: 28 January 2019

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ps/2018013

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zbMATH Keywords

stochastic differential equationdensity functionparametrix methodsingular driftGaussian two-sided bounds

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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Cited In (9)

• Method of stochastic normal forms
• On the relation between the Girsanov transform and the Kolmogorov equations for SPDEs
• The parametrix method for skew diffusions
• A probabilistic interpretation of the parametrix method
• On some asymptotic expansions of skew diffusions
• A Stochastic Interpretation of the Parametrix Method
• On stochastic Langevin and Fokker-Planck equations: the two-dimensional case
• Probability density function of SDEs with unbounded and path-dependent drift coefficient
• The parametrix method for parabolic SPDEs

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