… to the distribution p®k of k independent particles with same law P when the size … P, when
the size of the system tends to infinity, thus we have a law of large numbers. The distribution P …

… for a universal constant cp which depends only on p and not on the local martingale M.
For continuous local martingales and p 2 2 we proved this using Itö's formula in Chap. IV (…

… we have P(B) = Σ=1 P(Ap) which increases with n to Σ P(An), and also P(B) increases to P(B)
by … the family of all numbers P({w}) for we does not characterize the probability P in general. …

In this paper we investigate the nature of the adapted solutions to a class of forward-backward
stochastic differential equations (SDEs for short) in which the forward equation is non-…

… Throughout, we will use Protter (1990) as our basic reference for material on
semimartingales and stochastic integration. See this volume for details and further references. …

Classical theories of financial markets assume an infinitely liquid market and that all traders
act as price takers. This theory is a good approximation for highly liquid stocks, although …

We are interested in the rate of convergence of the Euler scheme approximation of the
solution to a stochastic differential equation driven by a general (possibly discontinuous) …

Recently, various authors proposed Monte-Carlo methods for the computation of American
option prices, based on least squares regression. The purpose of this paper is to analyze an …

… Paweł Rotter is a researcher at the Institute for Prospective Technological Studies (IPTS),
Joint Research Centre of the European Commission in … Contact him at rotter@agh.edu.pl. …

… If E[K(U x U x [0,tJ)] < 00and IVI(U x [0, tJ) < 00 as for each i » 0, then the bounded P-measurable
functions gives the class of bounded processes X for which X . Y is defined. Of course, …