Listagem Toolbox para a simulação e estimação de equações estocásticas e modelos financeiros de volatilidade estocástica / RP por autor "De la Cruz, Hugo"
Itens para a visualização no momento 1-5 of 5
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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 ... -
A Higher order and stable method for the numerical integration of Random Differential Equations
2014-11Over 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 ... -
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 ...
