Browsing by Author "Zubelli, Jorge P."
Now showing items 1-4 of 4
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Computer simulation of the stochastic transport equation
2015In 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 ... -
Locally Linearized methods for the simulation of stochastic oscillators driven by random forces
2017-03In this work, the performance of Locally Linearized integrators for the numerical simulation of stochastic oscillators driven by random forces is studied. This includes the reproduction of a number of dynamical properties ... -
A Numerical method for the semilinear stochastic transport equation
2015We 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 ... -
Robust management and pricing of liquefied natural gas contracts with cancelation options
2014Liquefied Natural Gas contracts offer cancelation options that make their pricing difficult, especially if many gas storages need to be taken into account. We develop a valuation mechanism from the buyer's perspective, a ...
