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

DOI10.1214/19-EJP352zbMath1466.60133arXiv1908.04550MaRDI QIDQ2274216

Arturo Kohatsu-Higa, Noufel Frikha, Li-Bo Li

Publication date: 19 September 2019

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.04550

zbMATH Keywords

stochastic differential equationsMonte Carlo simulationexpansionsintegration by partskilled process

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

Related Items (3)

Parametrix method for the first hitting time of an elliptic diffusion with irregular coefficients ⋮ Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals ⋮ Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift

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