We derive an expansion for the (expected) difference between the continuously monitored supremum and evenly monitored discrete maximum over a finite time horizon of a jump diffusion process with independent and identically distributed normal jump sizes. The monitoring error is of the form a 0 / N 1/2 + a 1 / N 3/2 + · · · + b 1 / N + b 2 / N 2 + b 4 / N 4 + · · ·, where N is the number of monitoring intervals. We obtain explicit expressions for the coefficients {a 0, a 1, …, b 1, b 2, …}. In particular, a 0 is proportional to the value of the Riemann zeta function at ½, a well-known fact that has been observed for Brownian motion in applied probability and mathematical finance.

We present a fast Poisson solver on spherical shells. With a special change of variable, the radial part of the Laplacian transforms to a constant coefficient differential operator. As a result, the Fast Fourier Transform can be applied to solve the Poisson equation with operations. Numerical examples have confirmed the accuracy and robustness of the new scheme.

We consider the problem of predicting integrals of second order processes whose covariances satisfy some Hölder regularity condition of order α > 0. When α is an odd integer, linear estimators based on regular sampling designs were constructed and asymptotic results for the approximation error were derived. We extend this result to any α > 0. When 2K < α ≤ 2K + 2, K a non-negative integer, we use an appropriate predictor based on the Euler-MacLaurin formula of order K with regular sampling designs. We give the corresponding result for the mean square error.

A proof is given of the Euler-Maclaurin sum formula, on a Banach space of differentiable vector-valued functions of bounded exponential growth, using the Laplace transformation. Some related summation formulae are proved by the same methods. Properties of the standard summation operator are proved, namely spectral properties and boundedness, continuity and differentiability results.

An operator form of the Euler-Maclaurin sum formula is obtained, expressing the sum of the Euler-Maclaurin infinite series in a closed derivation, whose spectrum is compact, not equal to {0}, and does not have 0 as a clusterpoint, as the difference between a summation operator and an antiderivation which is the local inverse of the derivation.