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

DOI10.1080/17442508.2019.1711092zbMath1490.60155OpenAlexW2999586910WikidataQ126389318 ScholiaQ126389318MaRDI QIDQ5086623

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

first hitting timedensity estimateskilled diffusionparametrix expansionunbiased simulation

Mathematics Subject Classification ID

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

Related Items (1)

Lie symmetries methods in boundary crossing problems for diffusion processes

Cites Work

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• Unbiased simulation of stochastic differential equations using parametrix expansions
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• A probabilistic interpretation of the parametrix method
• Integration by parts formula for killed processes: a point of view from approximation theory
• Stochastic-Process Limits
• Smooth first-passage densities for one-dimensional diffusions
• GREEN'S MATRICES OF BOUNDARY VALUE PROBLEMS FOR PETROVSKIĬ PARABOLIC SYSTEMS OF GENERAL FORM. I
• Diffusion processes with continuous coefficients, I

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