2 papers
math.DS2018
semigroup generation for Fokker-Planck operators associated with general Lévy driven SDEs
Linghua Chen, Espen Robstad Jakobsen
We prove a new generation result in for a large class of non-local operators with non-degenerate local terms. This class contains the operators appearing in Fokker-Planck or…
math.DS2015
On numerical density approximations of solutions of SDEs with unbounded coefficients
Linghua Chen, Espen Robstad Jakobsen, Arvid Naess
We study a numerical method to compute probability density functions of solutions of stochastic differential equations. The method is sometimes called the numerical path integratio…