Listagem Toolbox para a simulação e estimação de equações estocásticas e modelos financeiros de volatilidade estocástica / RP por autor "Zubelli, Jorge P."

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    • 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 ...