We consider an optimal stopping problem for a Hilbert-space valued di usion. We prove that the value function of the problem is the unique viscosity solution of an obstacle problem for the associated parabolic partial di erential equation in the Hilbert space. The results are applied to investigate the pricing of American interest rate options in the lognormal Heath-Jarrow-Morton model of yield...

A nonparametric statistical model of small di€usion type is compared with its discretization by a stochastic Euler di€erence scheme. It is shown that the discrete and continuous models are asymptotically equivalent in the sense of Le Cam's de®ciency distance for statistical experiments, when the discretization step decreases with the noise intensity . Mathematics Subject Classi®cation (1991): P...

"In this paper, we study the global existence in time of solutions for a parabolic reaction di usion model with full matrix coe cients on bounded domain. The technique used is based compact semigroup methods and some estimates. Our objective to show, under appropriate hypotheses, that proposed has solution large choice nonlinearities."

A simple and robust approach is proposed for the parametric estimation of scalar homogeneous stochastic di¤erential equations. We specify a parametric class of di¤usions and estimate the parameters of interest by minimizing criteria based on the integrated squared di¤erence between kernel estimates of the drift and di¤usion functions and their parametric counterparts. The procedure does not req...

The effect of dissolved water on the diffusivity of Ar in glasses and melts of rhyolitic and albitic compositions was investigated experimentally at pressures up to 1500 MPa and water contents of 0.1^5 wt%. The data for water-poor rhyolitic composition at 500 MPa can be described in the whole temperature range of 480^11023C by a simple Arrhenius relationship DAr = 2.14U1036 m2/s exp(318 883/T)....

We construct a reactive lattice-gas cellular automaton (LGCA) for reaction±di€usion systems and provide extensive discussion of its software coding aspects. The software coding aspects provide rationale for some choices in the construction of LGCA which has been inspired by molecular dynamics. Portability of the C language source code, of the data structures, and of the data formats is discusse...

A model is developed for the ow of a slightly compressible uid through a saturated inelastic porous medium. The initial-boundary-value problem is a system that consists of the di usion equation for the uid coupled to the momentum equation for the porous solid together with a constitutive law which includes a possibly hysteretic relation of elasto-visco-plastic type. The variational form of this...

The aim of this study is the evaluation of the e ect of microencapsulation of nanoparticles in composite microparticles on the reduction of burst release. Microparticles (simple and composite) and nanoparticles were prepared by using water-in-oil-in-water (W/O1/W2 double-emulsion solvent di usion/evaporation method), using di erent drug/polymer ratios. For preparation of the composite micropart...

A resolution enhancement scheme is presented. It consists of interpolation followed by processing with an adaptive nonlinear forward-and-backwarddi usion process that enhances edges while suppressing interpolation ringings and denoising smooth areas. keywords: super-resolution, image interpolation, anisotropic di usion, image enhancement, scale-space.

In this paper we introduce and study a least squares nite element approximation for singu larly perturbed convection di usion equations of second order By introducing the ux di usive plus convective as a new unknow the problem is written in a mixed form as a rst order system Further the ux is augmented by adding the lower order terms with a small parameter The new rst order system is approximat...