A probabilistic interpretation of the parametrix method
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Publication:894801
DOI10.1214/14-AAP1068zbMath1329.35164arXiv1510.06909MaRDI QIDQ894801
Vlad Bally, Arturo Kohatsu-Higa
Publication date: 24 November 2015
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.06909
Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30) Initial value problems for second-order parabolic equations (35K15) Parametrices in context of PDEs (35A17) Second-order parabolic equations (35K10)
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