A stochastic interpretation of the parametrix method
UDC 519.21 We revisit, in a didactic manner and by using stochastic analysis, the parametrix method and its application to unbiased simulation.  We consider, in particular, the case of one-dimensional diffusions without drift.
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| Datum: | 2023 |
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| 1. Verfasser: | |
| Format: | Artikel |
| Sprache: | Englisch |
| Veröffentlicht: |
Institute of Mathematics, NAS of Ukraine
2023
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| Online Zugang: | https://umj.imath.kiev.ua/index.php/umj/article/view/7382 |
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| Назва журналу: | Ukrains’kyi Matematychnyi Zhurnal |
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Ukrains’kyi Matematychnyi Zhurnal| Zusammenfassung: | UDC 519.21
We revisit, in a didactic manner and by using stochastic analysis, the parametrix method and its application to unbiased simulation.  We consider, in particular, the case of one-dimensional diffusions without drift. |
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| DOI: | 10.3842/umzh.v75i11.7382 |