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 |
|---|---|
| 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| _version_ | 1860512662768582656 |
|---|---|
| author | Kohatsu-Higa, A. Kohatsu-Higa, A. |
| author_facet | Kohatsu-Higa, A. Kohatsu-Higa, A. |
| author_sort | Kohatsu-Higa, A. |
| baseUrl_str | https://umj.imath.kiev.ua/index.php/umj/oai |
| collection | OJS |
| datestamp_date | 2024-06-19T00:34:51Z |
| description | 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. |
| doi_str_mv | 10.3842/umzh.v75i11.7382 |
| first_indexed | 2026-03-24T03:32:21Z |
| format | Article |
| fulltext | |
| id | umjimathkievua-article-7382 |
| institution | Ukrains’kyi Matematychnyi Zhurnal |
| keywords_txt_mv | keywords |
| language | English |
| last_indexed | 2026-03-24T03:32:21Z |
| publishDate | 2023 |
| publisher | Institute of Mathematics, NAS of Ukraine |
| record_format | ojs |
| resource_txt_mv | |
| spelling | umjimathkievua-article-73822024-06-19T00:34:51Z A stochastic interpretation of the parametrix method A stochastic interpretation of the parametrix method Kohatsu-Higa, A. Kohatsu-Higa, A. 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. UDK 519.21 Стохастична інтерпретація параметричного методу У дидактичній формі та з використанням стохастичного аналізу повторно розглянуто метод параметриксу та його застосування до незміщеного моделювання. Розглянуто, зокрема, випадок одновимірної дифузії без дрейфу. Institute of Mathematics, NAS of Ukraine 2023-11-30 Article Article https://umj.imath.kiev.ua/index.php/umj/article/view/7382 10.3842/umzh.v75i11.7382 Ukrains’kyi Matematychnyi Zhurnal; Vol. 75 No. 11 (2023); 1479 - 1496 Український математичний журнал; Том 75 № 11 (2023); 1479 - 1496 1027-3190 en https://umj.imath.kiev.ua/index.php/umj/article/view/7382/9924 Copyright (c) 2023 Георгій Валентинович Рябов |
| spellingShingle | Kohatsu-Higa, A. Kohatsu-Higa, A. A stochastic interpretation of the parametrix method |
| title | A stochastic interpretation of the parametrix method |
| title_alt | A stochastic interpretation of the parametrix method |
| title_full | A stochastic interpretation of the parametrix method |
| title_fullStr | A stochastic interpretation of the parametrix method |
| title_full_unstemmed | A stochastic interpretation of the parametrix method |
| title_short | A stochastic interpretation of the parametrix method |
| title_sort | stochastic interpretation of the parametrix method |
| topic_facet | parametrix method |
| url | https://umj.imath.kiev.ua/index.php/umj/article/view/7382 |
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