A probabilistic interpretation of the parametrix method
Probability
2015-10-26 v1
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.
Cite
@article{arxiv.1510.06909,
title = {A probabilistic interpretation of the parametrix method},
author = {Vlad Bally and Arturo Kohatsu-Higa},
journal= {arXiv preprint arXiv:1510.06909},
year = {2015}
}
Comments
Published at http://dx.doi.org/10.1214/14-AAP1068 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)