Listar Modelos e métodos numéricos en enxeñaría e ciencias aplicadas (M2NICA) por título
Mostrando ítems 39-58 de 69
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Numerical Analysis of a Second Order Pure Lagrange--Galerkin Method for Convection-Diffusion Problems. Part II: Fully Discretized Scheme and Numerical Results
(SIAM, Society for Industrial and Applied Mathematics, 2012-11-01)[Abstract]: We analyze a second order pure Lagrange-Galerkin method for variable coefficient convection-(possibly degenerate) diffusion equations with mixed Dirichlet-Robin boundary conditions. In a previous paper the ... -
Numerical Analysis of a Second order Pure Lagrange–Galerkin Method for Convection-Diffusion Problems. Part I: Time Discretization
(SIAM, Society for Industrial and Applied Mathematics, 2012-04-17)[Abstract]: We propose and analyze a second order pure Lagrangian method for variable coefficient convection-(possibly degenerate) diffusion equations with mixed Dirichlet-Robin boundary conditions. First, the method is ... -
Numerical Approximation of Convection-Diffusion Problems Through the PSI Method and Characteristics Method
(Springer, 2011-01-01)[Abstract]: In this work we present some numerical methods for solving evolutive convection-diffusion problems. In order to obtain a physically admissible solution we search for monotone and accurate methods that are also ... -
Numerical Simulation of a Nonlinear Problem Arising in Heat Transfer and Magnetostatics
(MDPI AG, 2020-08-19)[Abstract] We present a numerical model that comprises a nonlinear partial differential equation. We apply an adaptive stabilised mixed finite element method based on an a posteriori error indicator derived for this ... -
Numerical solution of a 1-d elastohydrodynamic problem in magnetic storage devices
(E D P Sciences, 2008-07)[Abstract] In this work we present new numerical methods to simulate the mechanics of head-tape magnetic storage devices. The elastohydrodynamic problem is formulated in terms of a coupled system which is governed by a ... -
Numerical Solution of a Nonlinear PDE Model for Pricing Renewable Energy Certificates (RECs)
(Elsevier, 2021)[Abstract] In this article we present a valuation method for Renewable Energy Certificates (RECs) or green certificates. For this purpose, we propose a non-linear PDE model with two stochastic factors: the accumulated green ... -
On a FEM--BEM formulation for an exterior quasilinear problem in the plane
(Society for Industrial and Applied Mathematics (SIAM), 2000-05)[Abstract] We use a version of the FEM--BEM method introduced by Costabel [ Boundary Elements IX, Vol. 1, C. A. Brebbia et al., eds., Springer-Verlag, 1987] and Han [ J. Comput. Math., 8 (1990), pp. 223--232] to discretize ... -
On a Neural Network to Extract Implied Information from American Options
(Routledge, 2022)[Abstract] Extracting implied information, like volatility and dividend, from observed option prices is a challenging task when dealing with American options, because of the complex-shaped early-exercise regions and the ... -
On an adaptive stabilized mixed finite element method for the Oseen problem with mixed boundary conditions
(Elsevier BV, 2020-06-15)[Abstract] We consider the Oseen problem with nonhomogeneous Dirichlet boundary conditions on a part of the boundary and a Neumann type boundary condition on the remaining part. Suitable least squares terms that arise from ... -
On the Adaptive Numerical Solution to the Darcy–Forchheimer Model †
(MDPI, 2021)[Abstract] We considered a primal-mixed method for the Darcy–Forchheimer boundary value problem. This model arises in fluid mechanics through porous media at high velocities. We developed an a posteriori error analysis of ... -
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 ... -
PDE Models for the Pricing of a Defaultable Coupon-Bearing Bond Under an Extended JDCEV Model
(Elsevier, 2021)[Abstract] We consider a two-factor model for the pricing of a non callable defaultable bond which pays coupons at certain given dates. The model under consideration is the Jump to Default Constant Elasticity of Variance ... -
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 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 ... -
Pricing renewable energy certificates with a Crank–Nicolson Lagrange–Galerkin numerical method
(2023-04)[Abstract]: The valuation problem of renewable energy certificates can be formulated in terms of a nonlinear PDE model where the underlying stochastic factors are the accumulated green certificates sold by an authorized ... -
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 ... -
Pure Lagrangian and Semi-Lagrangian Finite Element Methods for the Numerical Solution of Convection-Diffusion Problems
(University of Alberta, Northwestern Polytechnical University, Institute for Scientific Computing, 2014)[Abstract]: In this paper we propose a unified formulation to introduce and analyze (pure) Lagrangian and semi-Lagrangian methods for solving convection-diffusion partial differential equations. This formulation allows us ... -
Pure Lagrangian and semi-Lagrangian finite element methods for the numerical solution of Navier–Stokes equations
(Elsevier, Institute for Mathematics and Computer Science (IMACS), 2015-05-26)[Abstract]: In this paper we propose a unified formulation to introduce Lagrangian and semi-Lagrangian velocity and displacement methods for solving the Navier–Stokes equations. This formulation allows us to state classical ... -
Quantum Arithmetic for Directly Embedded Arrays
(MDPI, 2021)[Abstract] We describe a general-purpose framework to implement quantum algorithms relying upon an efficient handling of arrays. The cornerstone of the framework is the direct embedding of information into quantum amplitudes, ... -
Quasi-Regression Monte-Carlo Method for Semi-Linear PDEs and BSDEs
(MDPI AG, 2019-08-06)[Abstract] In this work we design a novel and efficient quasi-regression Monte Carlo algorithm in order to approximate the solution of discrete time backward stochastic differential equations (BSDEs), and we analyze the ...