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Browsing by Author "Casabán Bartual, Mª Consuelo"

Now showing items 1-19 of 19

A comprehensive probabilistic solution of random SIS-type epidemiological models using the Random Variable Transformation technique

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 ...
A random Laplace transform method for solving random mixed parabolic differential problems

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 ...
Analytic-numerical solution of random boundary value heat problems in a semi-infinite bar

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 ...
Closed form numerical solutions of variable coefficient linear second-order elliptic problems

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 ...
Computing probabilistic solutions of the Bernoulli random differential equation

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 ...
Determining the first probability density function of linear random initial value problems by the Random Variable Transformation (RVT) technique: A comprehensive study

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 ...
Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models

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 ...
Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives

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 ...
Probabilistic solution of random homogeneous linear second-order difference equations

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 ...
Probabilistic solution of random SI-type epidemiological models using the Random Variable Transformation technique

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 ...
Probabilistic solution of the homogeneous Riccati differential equation: A case-study by using linearization and transformation techniques

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 ...
Random First-Order Linear Discrete Models and Their Probabilistic Solution: A Comprehensive Study

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. ...
Removing the Correlation Term in Option Pricing HestonModel: Numerical Analysis and Computing

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 ...
Soluciones numéricas estables de sistemas acoplados mixtos de ecuaciones en derivadas parciales.

Casabán Bartual, Mª Consuelo (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 ...
Solving linear and quadratic random matrix differential equations using: A mean square approach. The non-autonomous case

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 ...
Solving linear and quadratic random matrix differential equations: A mean square approach

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 ...
Solving random homogeneous linear second-order differential equations: a full probabilistic description

Casabán, M.C.; Cortés, J.C.; Romero, José-Vicente; Roselló, María-Dolores (Springer-Verlag, 2016)

[EN] In this paper a complete probabilistic description for the solution of random homogeneous linear second-order differential equations via the computation of its two first probability density functions is given. As a ...
Solving random mixed heat problems: A random integral transform approach

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 ...
Solving the random diffusion model in an infinite medium: A mean square approach

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 ...