This is a continuation of the preceding article Ogawa (1992), where we discussed some basic problems arising in the simulation of nonlinear diffusion procsses. In this paper, we give the improvements of the simulation procedure in the discretization scheme and in the density estiamtion procedure.

Using some exponential variables in the time discretization of some reflected stochastic differential equations yields the same rate of convergence as in the usual Euler-Maruyama scheme.

This paper proposes two quasi-explicit formulas to calculate the American option prices with finite and infinite maturity respectively, in Merton's jump-diffusion model (1976).

Sediment load is an ecological criterion for the assessment of water quality as well as dissolved or particle-bound pollutants, governed by sediment transport. In a tidally unaffected section of the Elbe River upstream from Geesthacht a decreasing concentration of suspended particle load was...

We consider the one-dimensional nonlinear P.D.E. in the weak sense: When the initial condition is a probability on R, the solution Ut is the distribution of the random variable Xt where (Xt) is a nonlinear stochastic process in the sense of McKean.

Bond-graph modelling has been known for more than 30 years and is recognized to an increasing extend by academia and industries all over the world. By the same time considerable progress has been made with regard to the methodology, to the development of supporting software, and to applications...