In this paper we study the convergence rate of the numerical approximation of the quantiles of the marginal laws of (Xt), where (Xt) is a diffusion process, when one uses a Monte Carlo method combined with the Euler discretization scheme. Our convergence rate estimates are obtained under two...

A dynamic normal formulation for differential games is introduced and the "pedestrian principle" is discussed as a means of dynamically implementing the equilibrium strategy in a single game. Our formulation emphasizes the distinction between a player's rational prediction and the actual...