Listar Modelos e métodos numéricos en enxeñaría e ciencias aplicadas (M2NICA) por título
Mostrando ítems 32-51 de 95
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Feedback control of stochastic gene switches using PIDE models
(Elsevier, 2022)[Abstract]: Achieving control of gene regulatory circuits is one of the goals of synthetic biology, as a way to regulate cellular functions for useful purposes (in biomedical, environmental or industrial applications). The ... -
Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks
(MDPI AG, 2020-12-28)[Abstract] Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). The classical problem of pricing European and American financial options, based on the corresponding ... -
First passage times as a measure of hysteresis in stochastic gene regulatory circuits
(Elsevier, 2022)[Abstract]: In the context of phenotype switching and cell fate determination, numerousexperimental studies report hysteresis, despite the fact that the (forward) Chemical Master Equation governing the inherently stochastic ... -
Fully discrete FEM-BEM method for a class of exterior nonlinear parabolic-elliptic problems in 2D
(Elsevier BV * North-Holland, 2006-10)[Abstract] We considered a nonlinear parabolic equation in a bounded domain of R2 coupled with the Laplace equation in the corresponding exterior region. This kind of problems appears in the modelling of quasi-stationary ... -
Global Optimization for Automatic Model Points Selection in Life Insurance Portfolios
(MDPI AG, 2021-02-25)[Abstract] Starting from an original portfolio of life insurance policies, in this article we propose a methodology to select model points portfolios that reproduce the original one, preserving its market risk under a ... -
Global optimization for data assimilation in landslide tsunami models
(Elsevier, 2020-02-15)[Abstract]: The goal of this article is to make automatic data assimilation for a landslide tsunami model, given by the coupling between a non-hydrostatic multi-layer shallow-water and a Savage-Hutter granular landslide ... -
High-order well-balanced numerical schemes for one-dimensional shallow-water systems with Coriolis terms
(Elsevier B.V., 2024-05-15)[Absctract]: The goal of this work is to develop high-order well-balanced schemes for the one-dimensional shallow-water equations with Coriolis terms. The main contribution is the development of general numerical methods ... -
IDESS: a toolbox for identification and automated design of stochastic gene circuits
(Oxford University Press, 2023-11)[Abstract]: Motivation One of the main causes hampering predictability during the model identification and automated design of gene circuits in synthetic biology is the effect of molecular noise. Stochasticity may ... -
IMEX-RK Finite Volume Methods for Nonlinear 1d Parabolic PDEs. Application to Option Pricing
(Springer Nature, 2024-06-06)[Abstract]: The goal of this paper is to develop 2nd order Implicit-Explicit Runge-Kutta (IMEX-RK) finite volume (FV) schemes for solving 1d parabolic PDEs for option pricing, with possible nonlinearities in the source and ... -
Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
(Elsevier, 2019)[Abstract] In this paper we consider the valuation of swing options with the possibility of incorporating spikes in the underlying electricity price. This kind of contracts are modelled as path dependent options with ... -
Jump–diffusion productivity models in equilibrium problems with heterogeneous agents
(Elsevier B.V., 2024-11)[Abstract]: In this paper we adopt a rational expectations framework to formulate general equilibrium models with heterogeneous agents. The productivity dynamics are characterized by a jump–diffusion model, thus allowing ... -
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 ... -
Machine Learning to Compute Implied Volatility from European/American Options Considering Dividend Yield
(MDPI AG, 2020-09-15)[Abstract] Computing implied volatility from observed option prices is a frequent and challenging task in finance, even more in the presence of dividends. In this work, we employ a data-driven machine learning approach ... -
Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement
(SIAM, 2013)[Abstract] In this paper, we address the mathematical analysis and numerical solution ofa model for pricing a defined benefit pension plan. More precisely, the benefits received by themember of the plan depend on the ... -
Mathematical analysis and numerical simulation of a Reynolds-Koiter model for the elastohydrodynamic journal-bearing device
(E D P Sciences, 2002-03)[Abstract] The aim of this work is to deduce the existence of solution of a coupled problem arising in elastohydrodynamic lubrication. The lubricant pressure and concentration are modelled by Reynolds equation, jointly ... -
Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options
(Elsevier, 2018)[Abstract] In this paper, we address the mathematical analysis of a partial differential equation model for pricing fixed-rate mortgages with prepayment and default options, where the underlying stochastic factors are the ... -
Model and numerical methods for pricing renewable energy certificate derivatives
(Elsevier B.V., 2023-04)[Abstract]: Assuming that the price of the renewable energy certificate (REC) is known, we formulate the valuation problem of a European REC derivative in terms of a linear PDE model where the underlying stochastic factors ... -
Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework
(Elsevier B.V., 2024-03)[Abstract]: In this article we make some new relevant contributions to the computation of total valuation adjustments (XVA) for financial derivatives involving several currencies. From the modelling point of view, for the ... -
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 ...