In 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 ...

Global almost sure asymptotic stability of solutions of some nonlinear stochastic difference equations with cubic-type main part in their drift and diffusive part driven by square-integrable martingale differences is proven ...

Se presentan los fundamentos del problema de la valoración de opciones en contextos menos restrictivos que el propuesto por Black-Scholes, utilizando ecuaciones diferenciales parciales no lineales.

We tackle the calibration of the Stochastic Local-Volatility (SLV) model. This is the class of financial models that combines the local volatility and stochastic volatility features and has been subject of the attention ...

Introducing projector-operator technique and algebra of Terwiel's cumulants we study stochastic linear partial differential equations with global and local disorder. We present the evolution equation for the mean-value of ...

En este trabajo se revisan algunos métodos numéricos y estadísticos para la solución de problemas inversos. El enfoque Bayesiano presentado es cada vez más utilizado en las aplicaciones y proporciona una estimación de la ...

In this article we develop and implement a model to value an undeveloped oil field and to determine the optimal timing of investment. We assume a two factor model for the stochastic behavior of oil prices for which a closed ...