Casabán, M.-C.; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(MDPI AG, 2021)
[EN] This paper deals with the search for reliable efficient finite difference methods for the
numerical solution of random heterogeneous diffusion reaction models with a finite degree of
randomness. Efficiency appeals to ...
Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio; El-Fakharany, Mohamed; Casabán Bartual, Mª Consuelo(Hindawi Publishing Corporation, 2013-05)
[EN] This paper deals with the numerical solution of option pricing stochastic volatility model described by a time-dependent, twodimensional
convection-diffusion reaction equation. Firstly, the mixed spatial derivative ...
Company Rossi, Rafael(Universitat Politècnica de València, 2009-03-25)
La resolución de sistemas de ecuaciones diferenciales
de orden superior suele apoyarse en la consideración de un
sistema ampliado de primer orden. Este enfoque clásico
presenta dos inconvenientes. El primero de ellos ...
Ponsoda Miralles, Enrique(Universitat Politècnica de València, 2009-06-03)
EN ESTA MEMORIA SE CONSIDERAN DOS TIPOS DE ECUACIONES DIFERENCIALES MATRICIALES. EN PRIMER LUGAR SE CONSTRUYEN SOLUCIONES NUMERICAS PARA PROBLEMAS DE VALORES INICIALES MATRICIALES UTILIZANDO METODOS LINEALES MULTIPASO ...
Casabán Bartual, Mª Consuelo(Universitat Politècnica de València, 2010-01-14)
Esta memoria trata sobre la construcción de soluciones numéricas estables de sistemas parabólicos e hiperbólicos acoplados. Las etapas características de esta memoria son: la construcción de soluciones discretas utilizando ...
Almenar, Pedro; Jódar Sánchez, Lucas Antonio(Vilnius Gediminas Technical University, 2017)
[EN] This paper presents a recursive method which yields necessary and sufficient conditions for the existence of solutions of a class of n-th order linear focal boundary value problems in the interior of a given interval, ...
Almenar, Pedro; Jódar Sánchez, Lucas Antonio(Hindawi Publishing Corporation, 2015)
This paper presents a method that provides necessary and sufficient conditions for the existence of solutions of nth order linear boundary value problems. The method is based on the recursive application of a linear integral ...
Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio(Hindawi Publishing Corporation, 2014-04)
[EN] This paper presents an explicit finite-difference method for nonlinear partial differential equation appearing as a transformed Black-Scholes equation for American put option under logarithmic front fixing transformation. ...
Jódar Sánchez, Lucas Antonio; Merello Giménez, Paloma(Elsevier, 2010-03)
[EN] This paper deals with the construction of power series solutions of dynamic Leontief
input–output models with possibly singular capital matrix function, assuming that data
functions are analytic in a neighbourhood ...
Cortés López, Juan Carlos; Jódar Sánchez, Lucas Antonio; Roselló Ferragud, María Dolores; Villafuerte, L.(Elsevier, 2012-11-01)
This paper deals with the construction of mean square real-valued solutions to both initial and boundary value problems of linear differential equations whose coefficients are assumed to be stochastic processes and, initial ...
Casabán, M.C.; Cortés, J.-C.; Jódar Sánchez, Lucas Antonio(Elsevier, 2018)
[EN] This paper is aimed to extend, the non-autonomous case, the results recently given in the paper [1] for solving autonomous linear and quadratic random matrix differential equations. With this goal, important deterministic ...
Casabán Bartual, Mª Consuelo; Cortés López, Juan Carlos; Jódar Sánchez, Lucas Antonio(Elsevier, 2016-11)
[EN] In this paper linear and Riccati random matrix differential equations are solved taking advantage of the so called L-p-random calculus. Uncertainty is assumed in coefficients and initial conditions. Existence of the ...
El-Fakharany, Mohamed; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(Elsevier, 2016-04)
[EN] In this paper, numerical analysis of finite difference schemes for partial integro-differential models related to European and American option pricing problems under a wide class of Lévy models is studied. Apart from ...
Casabán, M. C.; Cortés, J. C.; Jódar Sánchez, Lucas Antonio(Elsevier, 2016)
[EN] This paper develops a random mean square Fourier transform approach to solve random partial differential heat problems with nonhomogeneous boundary value conditions. Random mean square operational rules for the random ...
Cortés López, Juan Carlos; Jódar Sánchez, Lucas Antonio; Company Rossi, Rafael; Villafuerte Altuzar, Laura(Elsevier, 2011-12)
This paper deals with the construction of approximate solutions of a random logistic differential equation whose nonlinear coefficient is assumed to be an analytic stochastic process and the initial condition is a random ...
Casabán, M.C.; Company Rossi, Rafael; Cortés, J.-C.; Jódar Sánchez, Lucas Antonio(Elsevier, 2014-12-15)
[EN] This paper deals with the construction of an analytic-numerical mean square solution of the random diffusion model in an infinite medium. The well-known Fourier transform method, which is used to solve this problem ...
Calbo Sanjuán, Gema; Cortés López, Juan Carlos; Jódar Sánchez, Lucas Antonio; Villafuerte Altuzar, Laura(Elsevier, 2011-05)
In this paper we construct, by means of random power series, the solution of second order linear differential equations of Legendre-type containing uncertainty through its coefficients and initial conditions. By assuming ...
Piqueras, Miguel A.; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(John Wiley & Sons, 2020-09-30)
[EN] The two-phase Stefan problems with phase formation and depletion are special
cases ofmoving boundary problemswith interest in science and industry. In this
work, we study a solidification problem, introducing a ...
Piqueras-García, Miguel Ángel; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(Hindawi Limited, 2019-07-01)
[EN] This paper deals with solving numerically partial integrodifferential equations appearing in biological dynamics models when
nonlocal interaction phenomenon is considered. An explicit finite difference scheme is ...