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Parametrix approximations for non constant coefficient parabolic PDEs

Foschi, Paolo and Pieressa, Luca and Polidoro, Sergio (2008): Parametrix approximations for non constant coefficient parabolic PDEs.

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Abstract

Closed form approximations to the fundamental solution of parabolic PDEs is considered. The approach consists on approximations based on a parametrix series expansion. The approximation error can be bounded by a gaussian function and it is of an order of t^2. These explicit expressions have direct applications in finance and statistics.

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