Uxy+ aux+ buv+ eu+ f= 0,(1) it is well known that certain boundary value problems, frequently
c lems of Goursat type," are correctly set. In these problems values known function u (x, y) …

… We survey conditions under which the financial gain process θ n dS n converges in distribution
to θ dS. Examples include convergence from discrete‐ to continuous‐time settings and, …

Let X be a standard Brownian motion. We show that for any locally square integrable function
f the quadratic covariation [f(X), X] exists as the usual limit of sums converging in probability…

… By using a classical localization procedure, it suffices to prove the result in the case where
H, T(h, r), (3T,/ôh)(h, r), (6T,,/0h*)(h, r), (0T/ör)(h, r) and / a "ds are uniformly bounded by a …

… Meyer [19] and Kurtz-Protter [14] have shown the existence of solutions of (ii) for all β ∈ IR
(actually much more is shown but it is not relevant here). Emery [6], [7] has shown that weak …

We propose a method for numerical approximation of backward stochastic differential equations.
Our method allows the final condition of the equation to be quite general and simple to …

Vesicles Spread Susceptibility to Phages Page 1 multicolor control would be a feasible
development to broaden our ability to probe multicomponent systems, such as those recently …

This paper provides an alternative approach to Duffie and Lando [Econometrica 69 (2001)
633–664] for obtaining a reduced form credit risk model from a structural model. Duffie and …

Consider a d-dimensional Brownian motion X = (X 1 ,…,X d ) and a function F which belongs
locally to the Sobolev space W 1,2 . We prove an extension of Itô s formula where the usual …

In this paper we study numerical methods to approximate the adapted solutions to a class of
forward-backward stochastic differential equations (FBSDE's). The almost sure uniform …