A probabilistic interpretation of the parametrix method

Citation
Bally, Vlad et Kohatsu-higa, Arturo, A probabilistic interpretation of the parametrix method, Annals of applied probability , 25(6), 2015, pp. 3095-3138
ISSN journal
10505164
Volume
25
Issue
6
Year of publication
2015
Pages
3095 - 3138
Database
ACNP
SICI code
Abstract
In this article, we introduce the parametrix technique in order to construct fundamental solutions as a general method based on semigroups and their generators. This leads to a probabilistic interpretation of the parametrix method that is amenable to Monte Carlo simulation. We consider the explicit examples of continuous diffusions and jump driven stochastic differential equations with Hölder continuous coefficients.