https://hdl.handle.net/10438/14149 2021-12-04T03:49:23Z 2021-12-04T03:49:23Z De la Cruz, Hugo Jimenez, José Carlos https://hdl.handle.net/10438/14156 2017-08-08T15:18:41Z 2014-11-01T00:00:00Z

A Higher order and stable method for the numerical integration of Random Differential Equations De la Cruz, Hugo; Jimenez, José Carlos 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 modeling of physical, biological, neurological and engineering phenomena, and on the other hand motivated by the usefulness of RDEs for the numerical analysis of Ito-stochastic differential equations (SDEs) -via the extant conjugacy property between RDEs and SDEs-, which allows to study stronger pathwise properties of SDEs driven by different kind of noises others than the Brownian. Since in most common cases no explicit solution of the equations is known, the construction of computational methods for the treatment and simulation of RDEs has become an important need. In this direction the Local Linearization (LL) approach is a successful technique that has been applied for defining numerical integrators for RDEs. However, a major drawback of the obtained methods is its relative low order of convergence; in fact it is only twice the order of the moduli of continuity of the driven stochastic process. The present work overcomes this limitation by introducing a new, exponential-based, high order and stable numerical integrator for RDEs. For this, a suitable approximation of the stochastic processes present in the random equation, together with the local linearization technique and an adapted Pad´e method with scaling and squaring strategy are conveniently combined. In this way a higher order of convergence can be achieved (independent of the moduli of continuity of the stochastic processes) while retaining the dynamical and numerical stability properties of the low order LL methods. Results on the convergence and stability of the suggested method and details on its efficient implementation are discussed. The performance of the introduced method is illustrated through computer simulations. Trabalho apresentado no Congresso Nacional de Matemática Aplicada à Indústria, 18 a 21 de novembro de 2014, Caldas Novas - Goiás

2014-11-01T00:00:00Z De la Cruz, Hugo Olivera, Christian Henrique Zubelli, Jorge P. https://hdl.handle.net/10438/14155 2018-08-02T13:54:20Z 2015-01-01T00:00:00Z

Computer simulation of the stochastic transport equation De la Cruz, Hugo; Olivera, Christian Henrique; Zubelli, Jorge P. 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 of the suggested scheme and details on its efficient implementation is presented. The performance of the introduced method is illustrated through computer simulations. Trabalho apresentado no 37th Conference on Stochastic Processes and their Applications - July 28 - August 01, 2014 -Universidad de Buenos Aires

2015-01-01T00:00:00Z De la Cruz, Hugo Olivera, Christian Henrique Zubelli, Jorge P. https://hdl.handle.net/10438/14154 2018-08-02T13:53:41Z 2015-01-01T00:00:00Z

A Numerical method for the semilinear stochastic transport equation De la Cruz, Hugo; Olivera, Christian Henrique; Zubelli, Jorge P. 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 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. Trabalho apresentado no XXXV CNMAC, Natal-RN, 2014.

2015-01-01T00:00:00Z