Year: 2015
Type: article
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 Hölder continuous coefficients.
DOI: 10.1214/14-aap1068
Authors: Vlad Bally, Arturo Kohatsu-Higa
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2169679128