A probabilistic interpretation of the parametrix method
Résumé
In this article, we introduce the parametrix method for constructions of fundamental solutions as a general method based on semigroups and difference of generators. This leads to a probabilistic interpretation of the parametrix method that are amenable to Monte Carlo simulation. We consider the explicit examples of continuous diffusions and jump driven stochastic differential equations with Ho ̈lder continuous coefficients.
Domaines
Probabilités [math.PR]
Origine : Fichiers produits par l'(les) auteur(s)
Loading...