Accurate scenario simulation methods for solutions of multi-dimensional stochastic differential equations find application in stochastic analysis, the statistics of stochastic processes and many other areas, for instance, in finance. They have been playing a crucial role as standard models in...

We consider simple models of financial markets with regular traders and insiders possessing some extra information hidden in a random variable which is accessible to the regular trader only at the end of the trading interval. The problems we focus on are the calculation of the additional utility...

It is shown that moments of negative order as well as positive non- integral order of a nonnegative random variable X can be expressed by the Laplace transform of X. Applying these results of certain first passage times gives explicit formulae for moments of suprema of Bessel processes as well...