Abstract.The subject of this paper is the analytic approximation of solution to stochastic differential delay equations with Poisson jump. We introduce approximate methods for stochastic differential ...

This is a preview. Log in through your library . Abstract This paper is concerned with a functional differential equation xˊ(z) = x(az + bx(z)), where a ≠ 1 and b ≠ 0 . By constructing a convergent ...

Introductory course on using a range of finite-difference methods to solve initial-value and initial-boundary-value problems involving partial differential equations. The course covers theoretical ...

I am interested in spatial stochastic models, in particular in diffusions, branching diffusions, superprocesses, and processes in random media. Certain linear and nonlinear partial differential ...

In this paper, a partial differential equation model for the pricing of pension plans based on average salary is posed by using the dynamic hedging methodology. The existence and uniqueness of ...