Probability computation for high-dimensional semilinear SDEs driven by isotropic \(\alpha\)-stable processes via mild Kolmogorov equations

DOI10.1214/23-ejp1034arXiv2210.03004OpenAlexW4388837583MaRDI QIDQ6136818

Alessandro Bondi

Publication date: 17 January 2024

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

Full work available at URL: https://arxiv.org/abs/2210.03004

zbMATH Keywords

iterative schemeKolmogorov equationsisotropic \(\alpha\)-stable Lévy processessemilinear SDEs

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Integro-partial differential equations (45K05) Markov semigroups and applications to diffusion processes (47D07) Stable stochastic processes (60G52) Regularization by noise (60H50)

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