Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations

DOI10.1016/j.spa.2020.03.016OpenAlexW3016688278WikidataQ115341138 ScholiaQ115341138MaRDI QIDQ2196378

Patrik Andersson, Arturo Kohatsu-Higa, Tomooki Yuasa

Publication date: 2 September 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2020.03.016

zbMATH Keywords

stochastic differential equationsMonte Carlo methodsexpansionsparametrix

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Integration by parts formula for killed processes: a point of view from approximation theory

Cites Work

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