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Listar por palabra clave "Differentiation (calculus)"

Mostrando ítems 1-8 de 8

A comparative study to the numerical approximation of random Airy differential equation

Cortés López, Juan Carlos; Jódar Sánchez, Lucas Antonio; Romero Bauset, José Vicente; Roselló Ferragud, María Dolores (Elsevier, 2011-11)

The aim of this paper is twofold. First, we deal with the extension to the random framework of the piecewise Fröbenius method to solve Airy differential equations. This extension is based on mean square stochastic calculus. ...
A piecewise-linearized algorithm based on the Krylov subspace for solving stiff ODEs

Ibáñez González, Jacinto Javier; Hernández García, Vicente; Ruiz Martínez, Pedro Antonio; Arias, Enrique (Elsevier, 2011-02)

Numerical methods for solving Ordinary Differential Equations (ODEs) have received considerable attention in recent years. In this paper a piecewise-linearized algorithm based on Krylov subspaces for solving Initial Value ...
New efficient numerical methods to describe the heat transfer in a solid medium

Ponsoda Miralles, Enrique; Blanes Zamora, Sergio; Bader, Philipp (Elsevier, 2011-10)

The analysis of heat conduction through a solid with heat generation leads to a linear matrix differential equation with separated boundary conditions. We present a symmetric second order exponential integrator for the ...
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 ...
Numerical solution of random differential initial value problems: Multistep methods

Cortés, J.-C.; Jódar Sánchez, Lucas Antonio; Villafuerte, L. (Wiley: 12 months, 2011-01)

This paper deals with the construction of numerical methods of random initial value problems. Random linear multistep methods are presented and sufficient conditions for their mean square convergence are established. Main ...
Numerical solution of random differential models

Cortés López, Juan Carlos; Jódar Sánchez, Lucas Antonio; Villafuerte Altuzar, Laura; Company Rossi, Rafael (Elsevier, 2011-10)

This paper deals with the construction of a numerical solution of random initial value problems by means of a random improved Euler method. Conditions for the mean square convergence of the proposed method are established. ...
Solving Riccati time-dependent models with random quadratic coefficient

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 ...
Solving the random Legendre differential equation: Mean square power series solution and its statistical functions

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 ...