Casabán, M.C.; Cortés, J.-C.; Navarro-Quiles, A.; Romero, José-Vicente; Roselló, María-Dolores; Villanueva Micó, Rafael Jacinto(Elsevier, 2016)
[EN] This paper provides a complete probabilistic description of SIS-type epidemiological models where all the input parameters (contagion rate, recovery rate and initial conditions) are assumed to be random variables. By ...
Casabán Bartual, Mª Consuelo; Cortés López, Juan Carlos; Jódar Sánchez, Lucas Antonio(Elsevier, 2015-05)
[EN] This paper deals with the explicit solution of random mixed parabolic equations in unbounded domains by using the random Laplace transform to second order stochastic processes. The mean square random Laplace operational ...
Casabán Bartual, Mª Consuelo; Cortés López, Juan Carlos; García Mora, María Belén; Jódar Sánchez, Lucas Antonio(Hindawi Publishing Corporation, 2013)
[EN] This paper deals with the analytic-numerical solution of random heat problems for the temperature distribution in a semi-infinite bar with different boundary value conditions. We apply a random Fourier sine and cosine ...
Casabán, M.C.; Cortés, J.-C.; Jódar Sánchez, Lucas Antonio(Vilnius Gediminas Technical University, 2018)
[EN] This paper deals with the construction of mean square analytic-numerical solution of parabolic partial differential problems where both initial condition and coefficients are stochastic processes. By using a random ...
Casabán Bartual, Mª Consuelo; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(Elsevier, 2014-07-01)
In this work we develop an alternative numerical technique which allows to construct a numerical solution in closed form of variable coefficient linear second-order elliptic problems with Dirichlet boundary conditions. The ...
Casabán, M.-C.; Cortés, J.-C.; Navarro-Quiles, A.; Romero, José-Vicente; Roselló, María-Dolores; Villanueva Micó, Rafael Jacinto(Elsevier, 2017)
[EN] The random variable transformation technique is a powerful method to determine the probabilistic solution for random differential equations represented by the first probability density function of the solution stochastic ...
Casabán Bartual, Mª Consuelo; Cortés López, Juan Carlos; Romero Bauset, José Vicente; Roselló Ferragud, María Dolores(Hindawi Publishing Corporation, 2014)
Deterministic differential equations are useful tools for mathematical modelling. The consideration of uncertainty into their formulation leads to random differential equations. Solving a random differential equation means ...
Casabán Bartual, Mª Consuelo; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio; Romero Bauset, José Vicente(Hindawi Publishing Corporation, 2012)
A new discretization strategy is introduced for the numerical solution of partial integrodifferential equations appearing in option pricing jump diffusion models. In order to consider the unknown behaviour of the solution ...
Casabán Bartual, Mª Consuelo; Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio(John Wiley & Sons, 2020-09-30)
[EN] Random coupled parabolic partial differential models are solved numerically using random cosine Fourier transform together with non-Gaussian random numerical integration that captures the highly oscillatory behaviour ...
Casabán Bartual, Mª Consuelo; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(MDPI AG, 2020-07)
[EN] In this paper, we propose an integral transform method for the numerical solution of
random mean square parabolic models, that makes manageable the computational complexity due to
the storage of intermediate information ...
Casabán Bartual, Mª Consuelo; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio; Pintos Taronger, José Ramón(ElsevierPergamon, 2011)
[EN] This paper deals with the numerical analysis and computing of a nonlinear model of option pricing appearing in illiquid markets with observable parameters for derivatives. A consistent monotone finite difference scheme ...
Casabán, M.-C.; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(MDPI AG, 2019-09)
[EN] This paper deals with the construction of numerical solutions of random hyperbolic models with a finite degree of randomness that make manageable the computation of its expectation and variance. The approach is based ...
Casabán Bartual, Mª Consuelo; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(John Wiley & Sons, 2020-09-30)
[EN] This paper deals with the construction of numerical stable solutions of random mean square Fisher-Kolmogorov-Petrosky-Piskunov (Fisher-KPP) models with advection. The construction of the numerical scheme is performed ...
Casabán Bartual, Mª Consuelo; Cortés López, Juan Carlos; Romero Bauset, José Vicente; Roselló Ferragud, María Dolores(Elsevier, 2014-08)
This paper deals with the computation of the first probability density function of the
solution of random homogeneous linear second-order difference equations by the Random Variable Transformation method. This approach ...
Casabán Bartual, Mª Consuelo; Cortés López, Juan Carlos; Navarro Quiles, Ana; Roselló Ferragud, María Dolores(2015)
[EN] This paper deals with the probabilistic solution of random Riccati-type differential equations that appear in a class of epidemiological models usually referred to as SIS-type models. Taking advantage of Random Variable ...
Casabán Bartual, Mª Consuelo; Cortés López, Juan Carlos; Romero Bauset, José Vicente; Roselló Ferragud, María Dolores(Elsevier, 2015-07)
[EN] This paper presents a full probabilistic description of the solution of random SI-type epidemiological models which are based on nonlinear differential equations. This description consists of determining: the first ...
Casabán, M. C.; Cortés, J.C.; Navarro-Quiles, A.; Romero, José-Vicente; Roselló, María-Dolores; Villanueva Micó, Rafael Jacinto(Elsevier, 2016)
[EN] This paper deals with the determination of the first probability density function of the solution stochastic process to the homogeneous Riccati differential equation taking advantage of both linearization and Random ...
Casabán Bartual, Mª Consuelo; Cortés López, Juan Carlos; Romero Bauset, José Vicente; Roselló Ferragud, María Dolores(Hindawi Publishing Corporation, 2016)
[EN] This paper presents a complete stochastic solution represented by the first probability density function for random first-order linear
difference equations. The study is based on Random Variable Transformation method. ...
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 ...