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A Stochastic Interpretation of the Parametrix Method
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.
期刊介绍:
Ukrainian Mathematical Journal publishes articles and brief communications on various areas of pure and applied mathematics and contains sections devoted to scientific information, bibliography, and reviews of current problems. It features contributions from researchers from the Ukrainian Mathematics Institute, the major scientific centers of the Ukraine and other countries.
Ukrainian Mathematical Journal is a translation of the peer-reviewed journal Ukrains’kyi Matematychnyi Zhurnal, a publication of the Institute of Mathematics of the National Academy of Sciences of Ukraine.