Computer simulation of the stochastic transport equation

Detalhes bibliográficos
Autor(a) principal: De la Cruz, Hugo
Data de Publicação: 2015
Outros Autores: Olivera, Christian Henrique, Zubelli, Jorge P.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/14155
Resumo: Trabalho apresentado no 37th Conference on Stochastic Processes and their Applications - July 28 - August 01, 2014 -Universidad de Buenos Aires
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spelling De la Cruz, HugoOlivera, Christian HenriqueZubelli, Jorge P.Demais unidades::RPCA2015-10-23T12:48:06Z2015-10-23T12:48:06Z2015http://hdl.handle.net/10438/14155Trabalho apresentado no 37th Conference on Stochastic Processes and their Applications - July 28 - August 01, 2014 -Universidad de Buenos AiresIn 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 of the suggested scheme and details on its efficient implementation is presented. The performance of the introduced method is illustrated through computer simulations.engEMAp - Escola de Matemática AplicadaRandom differential equationsNumerical methodsStochastic transport equationExponential methodsLocal linearization approachPartial Stochastic differential equationsEconomiaVariáveis aleatóriasEquações diferenciais parciais estocásticasComputer simulation of the stochastic transport equationinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessToolbox para a simulação e estimação de equações estocásticas e modelos financeiros de volatilidade estocásticaProjetos de Pesquisa 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dc.title.eng.fl_str_mv Computer simulation of the stochastic transport equation
title Computer simulation of the stochastic transport equation
spellingShingle Computer simulation of the stochastic transport equation
De la Cruz, Hugo
Random differential equations
Numerical methods
Stochastic transport equation
Exponential methods
Local linearization approach
Partial Stochastic differential equations
Economia
Variáveis aleatórias
Equações diferenciais parciais estocásticas
title_short Computer simulation of the stochastic transport equation
title_full Computer simulation of the stochastic transport equation
title_fullStr Computer simulation of the stochastic transport equation
title_full_unstemmed Computer simulation of the stochastic transport equation
title_sort Computer simulation of the stochastic transport equation
author De la Cruz, Hugo
author_facet De la Cruz, Hugo
Olivera, Christian Henrique
Zubelli, Jorge P.
author_role author
author2 Olivera, Christian Henrique
Zubelli, Jorge P.
author2_role author
author
dc.contributor.unidadefgv.por.fl_str_mv Demais unidades::RPCA
dc.contributor.author.fl_str_mv De la Cruz, Hugo
Olivera, Christian Henrique
Zubelli, Jorge P.
dc.subject.por.fl_str_mv Random differential equations
Numerical methods
Stochastic transport equation
Exponential methods
Local linearization approach
Partial Stochastic differential equations
topic Random differential equations
Numerical methods
Stochastic transport equation
Exponential methods
Local linearization approach
Partial Stochastic differential equations
Economia
Variáveis aleatórias
Equações diferenciais parciais estocásticas
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Variáveis aleatórias
Equações diferenciais parciais estocásticas
description Trabalho apresentado no 37th Conference on Stochastic Processes and their Applications - July 28 - August 01, 2014 -Universidad de Buenos Aires
publishDate 2015
dc.date.accessioned.fl_str_mv 2015-10-23T12:48:06Z
dc.date.available.fl_str_mv 2015-10-23T12:48:06Z
dc.date.issued.fl_str_mv 2015
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/14155
url http://hdl.handle.net/10438/14155
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv EMAp - Escola de Matemática Aplicada
publisher.none.fl_str_mv EMAp - Escola de Matemática Aplicada
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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