We consider fractional Brownian motions B t H with arbitrary Hurst coefficients 0<H<1 and
prove the following results: (i) An integral representation of the fractional white noise as …

In this paper we lay the foundation for a numerical algorithm to simulate high-dimensional
coupled FBSDEs under weak coupling or monotonicity conditions. In particular, we prove …

We present a generic non‐nested Monte Carlo procedure for computing true upper bounds
for Bermudan products, given an approximation of the Snell envelope. The pleonastic “true” …

We introduce a forward scheme for simulating backward SDEs. Compared to existing
schemes, ours avoids high order nestings of conditional expectations backwards in time. In this …

In this paper, we study the pricing problem of multi-exercise options under volume constraints.
The volume constraint is modelled by an adapted process with values in the positive …

Background Tumor models are critical for our understanding of cancer and the development
of cancer therapeutics. Here, we present an integrated map of the genome, transcriptome …

In this paper, we study the dual representation for generalized multiple stopping problems,
hence the pricing problem of general multiple exercise options. We derive a dual …

MicroRNAs post-transcriptionally regulate gene expression and thereby contribute to the
modulation of numerous complex and disease-relevant cellular phenotypes, including cell …

In this paper we first give a review of the least-squares Monte Carlo approach for approximating
the solution of backward stochastic differential equations (BSDEs) first suggested by …

A paramount task in RNA interference research is to decipher the complex biology of cellular
effectors, exemplified in humans by four pleiotropic Argonaute proteins (Ago1–Ago4). Here, …