Toolbox para a simulação e estimação de equações estocásticas e modelos financeiros de volatilidade estocástica / RP

On the construction of explicit exponential based schemes for Stiff SDEs

De la Cruz, Hugo
2015
Numerical integration of coupled stochastic oscillators driven by Random Forces

De la Cruz, Hugo
2015
A Higher order and stable method for the numerical integration of Random Differential Equations

De la Cruz, Hugo; Jimenez, José Carlos
2014-11

Over the last few years there has been a growing and renovated interest in the numerical study of Random Differential Equations (RDEs). On one hand it is motivated by the fact that RDEs have played an important role in the ...
Computer simulation of the stochastic transport equation

De la Cruz, Hugo; Olivera, Christian Henrique; Zubelli, Jorge P.
2015

In this article the numerical approximation of the stochastic transport equation is considered. We propose a new computational scheme for the effective simulation of the solutions of this equation. Results on the convergence ...
A Numerical method for the semilinear stochastic transport equation

De la Cruz, Hugo; Olivera, Christian Henrique; Zubelli, Jorge P.
2015

We propose a new numerical method for the computer simulation of the semi-linear transport equation. Based on the stochastic characteristic method and the Local Linearization technique, we construct an effi cient and stable ...