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

Анотація

UDK 519.21

Стохастична інтерпретація параметричного методу

У дидактичній формі та з використанням стохастичного аналізу повторно розглянуто метод параметриксу та його застосування до незміщеного моделювання. Розглянуто, зокрема, випадок одновимірної дифузії без дрейфу.

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