Philip Protter: Recent Publications Related to Stochastic Numerics

Philip Protter
School of Operations Research and Industrial Engineering

Recent Publications Related to Stochastic Numerics by Philip Protter

(with Jean Jacod, Tom Kurtz and Sylvie Méléard) The Approximate Euler Method for Lévy Driven Stochastic Differential Equations, Annales de l'Institut Henri Poincaré, Special issue devoted to the memory of P.A. Meyer (En Hommage à Paul-André Meyer),41; 523-558, 2005
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(with Jin Ma, Jaime San Martin, and Soledad Torres) Numerical Method for Backward Stochastic Differential Equations, Annals of Applied Probability 12; 302-316, 2002
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(with Del Moral, Pierre and Jacod, Jean) The Monte- Carlo method for filtering with discrete time observations, Probability Theory and Related Fields 120; 346-368, 2001
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(with Jacod, Jean) Asymptotic Error Distributions for the Euler Method for Stochastic Differential Equations, Ann. Proba 26; 267-307, 1998
(with Tom Kurtz) Limit theorems for solutions of stochastic equations II, CIME School in Probability, Springer Lecture Notes in Mathematics, 1627;197-285, 1996
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(with Tom Kurtz) Limit theorems for solutions of stochastic equations I, CIME School in Probability, Springer Lecture Notes in Mathematics, 1627;1-41, 1996
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(with D. Talay) The Euler scheme for Lévy driven stochastic differential equations, Ann. Proba 25; 393-423, 1997.
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(with J. Douglas, Jr. and J. Ma) Numerical methods for forward-backward stochastic differential equations, Ann. Applied Proba 6; 940-968, 1996.
(with Ma J. and Yong J.) Solving Forward-Backward Stochastic Differential Equations Explicitly-a Four Step Scheme, Proba. Th. Rel. Fields 98; 339-359, 1994.
(with A. Kohatsu-Higa) The Euler Scheme for SDEs driven by Semimartingales, in Stochastic Analysis on Infinite Dimensional Spaces, (H. Kunita and H.H. Kuo, eds.), Pitman, 141-151, 1994.
(with Jacod J.) A Remark on the Weak Convergence of Processes in the Skorohod Topology, J. Theoretical Probability 6; 463-472, 1993.
(with Kurtz T.G.) Wong-Zakai Corrections, Random Evolutions, and Numerical Schemes for SDEs, in Stochastic Analysis , Academic Press; 331-346, 1991.
(with Kurtz T.G.) Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations, Annals of Probability 19; 1035-1070, 1991.