We consider backward stochastic differential equations with convex constraints on the gains (or intensity-of-noise) process. Existence and uniqueness of a minimal solution are established in the case ...

A new class of stochastic Runge–Kutta methods for the weak approximation of the solution of Itô stochastic differential equation systems with a multidimensional Wiener process is introduced. As the ...

We looked at Maxima in the February 2011 issue to do algebra and rearrange some equations. But those aren't the only tricks up Maxima's sleeve. This month, I describe how Maxima can help with ...