A stochastic interpretation of the parametrix method

A.  Kohatsu-Higa

doi:10.3842/umzh.v75i11.7382

A. Kohatsu-Higa Department of Mathematical Sciences, Ritsumeikan University, Kusatsu, Shiga, Japan

DOI: https://doi.org/10.3842/umzh.v75i11.7382

Keywords: parametrix method

Abstract

UDC 519.21

We revisit, in a didactic manner and by using stochastic analysis, the parametrix method and its application to unbiased simulation. We consider, in particular, the case of one-dimensional diffusions without drift.

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