A probabilistic interpretation of the parametrix method
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Publication:894801
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)
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.
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Cited in
(27)- Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
- Integration by parts formula for killed processes: a point of view from approximation theory
- 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
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- A Stochastic Interpretation of the Parametrix Method
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- Unbiased simulation of stochastic differential equations
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- Towards the exact simulation using hyperbolic Brownian motion
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