In this note we derive the backward (automatic) differentiation (adjoint [automatic] differentiation) for an algorithm containing a conditional expectation operator. As an example we consider the backward algorithm as it is used in Bermudan product valuation, but the method is applicable in full generality. The method relies on three simple properties: 1. a forward or backward (automatic) diffe...

For an arbitrary in nite-dimensional Banach space X, we construct examples of strongly-measurable X-valued Pettis integrable functions whose indefinite Pettis integrals are nowhere weakly di erentiable; thus, for these functions the Lebesgue Di erentiation Theorem fails rather spectacularly. We also relate the degree of nondi erentiability of the inde nite Pettis integral to the cotype of X, fr...

In this paper, we prove the existence of continuous solutions of a Volterra integral inclusion involving the Henstock-Kurzweil-Pettis integral. Since this kind of integral is more general than the Bochner, Pettis and Henstock integrals, our result extends many of the results previously obtained in the single-valued setting or in the set-valued case.

In this paper, we introduce the Denjoy-Pettis integral of set-valued mappings and investigate some properties of the set-valued Denjoy-Pettis integral. Finally we obtain the Dominated Convergence Theorem and Monotone Convergence Theorem for set-valued DenjoyPettis integrable mappings.

The sum. difference, product and quotient of two functions with different domains are usually defined only on their common domain. This paper extends these definitions so that the sum and other operations are essentially defined anywhere that at least one of the components is defined. This idea is applied to propositions and events, expressed as indicator functions, to define conditional propos...