The parametrix method for skew diffusions

DOI10.1007/s11118-016-9547-0zbMath1358.65009OpenAlexW2296046161MaRDI QIDQ309004

Jie Zhong, Arturo Kohatsu-Higa, Dai Taguchi

Publication date: 6 September 2016

Published in: Potential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11118-016-9547-0

zbMATH Keywords

stochastic differential equationfundamental solutionskew Brownian motionparametrix methoddensity estimatesskew diffusions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Brownian motion (60J65) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Fundamental solutions, Green's function methods, etc. for initial value and initial-boundary value problems involving PDEs (65M80)

Related Items (5)

ESSAYS ON STRONG AND WEAK APPROXIMATIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS ⋮ Probability density function of SDEs with unbounded and path-dependent drift coefficient ⋮ Unbiased simulation method with the Poisson kernel method for stochastic differential equations with reflection ⋮ A Markov chain approximation scheme for option pricing under skew diffusions ⋮ On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time

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