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Low cost a posteriori error estimators for an augmented mixed FEM in linear elasticity
(Elsevier BV * North-Holland, 2014)
[Abstract] We consider an augmented mixed finite element method applied to the linear elasticity problem and derive a posteriori error estimators that are simpler and easier to implement than the ones available in the ...
A Numerical Strategy for Telecommunications Networks Capacity Planning Under Demand and Price Uncertainty
(Elsevier BV * North-Holland, 2017-07)
[Abstract] The massive use of Internet in the last twenty years has created a huge demand for telecommunications networks capacity. In this work, financial option pricing methods are applied to the problem of network ...
Stabilized dual-mixed method for the problem of linear elasticity with mixed boundary conditions
(Pergamon Press, 2014-04)
[Abstract] We extend the applicability of the augmented dual-mixed method introduced recently in Gatica (2007), Gatica et al. (2009) to the problem of linear elasticity with mixed boundary conditions. The method is based ...
A posteriori error analysis of an augmented mixed finite element method for Darcy flow
(Elsevier BV, 2015-01)
[Abstract] We develop an a posteriori error analysis of residual type of stabilized mixed finite element method for Darcy flow. The stabilized formulation is obtained by adding to the standard dual-mixed approach suitable ...
PDE Models and Numerical Methods for Total Value Adjustment in European and American Options with Counterparty Risk
(Elsevier Inc., 2017-09-01)
[Abstract] Since the last financial crisis, a relevant effort in quantitative finance research concerns the consideration of counterparty risk in financial contracts, specially in the pricing of derivatives. As a consequence ...
Pricing pension plans under jump–diffusion models for the salary
(Elsevier, 2014)
[Abstract] In this paper we consider the valuation of a defined benefit pension plan in the presence of jumps in the underlying salary and including the possibility of early retirement. We will consider that the salary ...
A second order characteristics finite element scheme for natural convection problems
(Elsevier, 2011-01-31)
[Abstract]: In this paper a second order characteristics finite element scheme is applied to the numerical solution of natural convection problems. Firstly, after recalling the mathe-matical model, a second order time ...
Second-Order Pure Lagrange-Galerkin Methods for Fluid-Structure Interaction Problems
(SIAM, Society for Industrial and Applied Mathematics, 2015-09-30)
[Abstract]: In this paper we propose a second order (both in time and in space) pure Lagrange-Galerkin method for
the numerical solution of fluid-structure interaction problems. The proposed scheme is written in material ...
Pricing pension plans based on average salary without early retirement: partial differential equation modeling and numerical solution
(Infopro Digital Services, 2012)
[Abstract] In this paper, a partial differential equation model for the pricing of pension plans
based on average salary is posed by using the dynamic hedging methodology. The
existence and uniqueness of solutions for ...
Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach
(2017)
[Abstract] In this paper, we consider the numerical valuation of swing options in electricity
markets based on a two-factor model. These kinds of contracts are modeled as pathdependent
options with multiple exercise ...