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dc.contributor.authorDe la Cruz, Hugo
dc.contributor.authorOlivera, Christian Henrique
dc.contributor.authorZubelli, Jorge P.
dc.date.accessioned2015-10-23T12:10:38Z
dc.date.available2015-10-23T12:10:38Z
dc.date.issued2015
dc.identifier.citationHUGO, D.L.C; OLIVERA, C.H; ZUBELLI, J. A Numerical method for the semilinear stochastic transport equation. In: BRAZILIAN SOCIETY OF COMPUTATIONAL AND APPLIED MATHEMATICS, 35, 2014, Natal. Proceeding series, v.3, n.1, 2015.
dc.identifier.urihttp://hdl.handle.net/10438/14154
dc.descriptionTrabalho apresentado no XXXV CNMAC, Natal-RN, 2014.
dc.description.abstractWe 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 method for integrating this equation. For this, a suitable exponential-based approximation to the solution of an associated auxiliary random inte-gral equation, together with a Pad é method with scaling and squaring strategy are conveniently combined. Results on the convergence and stability of the suggested method and details on its e fficient implementation are discussed.eng
dc.language.isoeng
dc.publisherEMAp - Escola de Matemática Aplicadapor
dc.subjectNumerical methodspor
dc.subjectStochastic transport equationpor
dc.subjectLocal linearization approachpor
dc.subjectExponential integratorspor
dc.subjectStochastic partial di erential equationspor
dc.titleA Numerical method for the semilinear stochastic transport equationeng
dc.typeArticle (Journal/Review)eng
dc.subject.areaEconomiapor
dc.contributor.unidadefgvDemais unidades::RPCApor
dc.subject.bibliodataEquações diferenciais parciais estocásticaspor
fgv.relation.ispartofToolbox para a simulação e estimação de equações estocásticas e modelos financeiros de volatilidade estocásticapor


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