Parametrix method for the first hitting time of an elliptic diffusion with irregular coefficients

DOI10.1080/17442508.2019.1711092MaRDI QIDQ5086623zbMATH OpenOpenAlexWikidataFDO

Authors Noufel Frikha, Li-Bo Li

Publication date 6 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2019.1711092

zbMATH Keywords

density estimatesfirst hitting timekilled diffusionparametrix expansionunbiased simulation

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) Martingales and classical analysis (60G46) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

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• Unbiased simulation of stochastic differential equations using parametrix expansions

Cited in

(2)

• On some asymptotic expansions of skew diffusions
• Lie symmetries methods in boundary crossing problems for diffusion processes

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