A probabilistic interpretation of the parametrix method

DOI10.1214/14-AAP1068zbMATH Open1329.35164arXiv1510.06909MaRDI QIDQ894801FDOQ894801

Authors: Vlad Bally, Arturo Kohatsu-Higa 

Publication date: 24 November 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: In this article, we introduce the parametrix technique in order to construct fundamental solutions as a general method based on semigroups and their generators. This leads to a probabilistic interpretation of the parametrix method that is amenable to Monte Carlo simulation. We consider the explicit examples of continuous diffusions and jump driven stochastic differential equations with H"{o}lder continuous coefficients.

Full work available at URL: https://arxiv.org/abs/1510.06909

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zbMATH Keywords

stochastic differential equationMonte Carlo methodparametrixdensity of semigroup

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Second-order parabolic equations (35K10) Initial value problems for second-order parabolic equations (35K15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30) Parametrices in context of PDEs (35A17)

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Cited In (26)

• Fundamental solution for Cauchy initial value problem for parabolic PDEs with discontinuous unbounded first-order coefficient at the origin. Extension of the classical parametrix method
• Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift
• Nash estimates and upper bounds for non-homogeneous Kolmogorov equations
• Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
• Operator splitting around Euler–Maruyama scheme and high order discretization of heat kernels
• Towards the exact simulation using hyperbolic Brownian motion
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• Pricing Bermudan options under local Lévy models with default
• The Girsanov Theorem Without (So Much) Stochastic Analysis
• Stochastic formulations of the parametrix method
• The parametrix method for skew diffusions
• Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations
• On some asymptotic expansions of skew diffusions
• A generic construction for high order approximation schemes of semigroups using random grids
• Approximation for non-smooth functionals of stochastic differential equations with irregular drift
• Regularity of the density of a stable-like driven SDE with Hölder continuous coefficients
• Integration by parts formula for killed processes: a point of view from approximation theory
• Unbiased simulation method with the Poisson kernel method for stochastic differential equations with reflection
• A new parametric method of estimating the joint probability density: revisited
• Unbiased Monte Carlo estimate of stochastic differential equations expectations
• Unbiased simulation of stochastic differential equations
• Probability density function of SDEs with unbounded and path-dependent drift coefficient
• Parametrix method for the first hitting time of an elliptic diffusion with irregular coefficients
• Parametrix construction of the transition probability density of the solution to an SDE driven by \(\alpha\)-stable noise
• On weak uniqueness and distributional properties of a solution to an SDE with \(\alpha\)-stable noise
• Convergence in distribution norms in the CLT for non identical distributed random variables

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