A generic control variate method is proposed to price options under stochastic volatility models by Monte Carlo simulations. This method provides a constructive way to select control variates which are martingales in order to reduce the variance of unbiased option price estimators. We apply a singular and regular perturbation analysis to characterize the variance reduced by martingale control variates. This variance analysis is done in the regime where time scales of associated driving volatility...

In this paper we certify that the same approach proposed in previous works by Chniti et al. [C. R. Acad. Sci. 342 (2006) 883–886; CALCOLO 45 (2008) 111–147; J. Sci. Comput. 38 (2009) 207–228] can be applied to more general operators with strong heterogeneity in the coefficients. We consider here the case of reaction-diffusion problems with piecewise constant coefficients. The problem reduces to determining the coefficients of some transmission conditions to obtain fast convergence of domain decomposition...

In this paper we certify that the same approach proposed in previous works by Chniti et al. [C. R. Acad. Sci.342 (2006) 883–886; CALCOLO45 (2008) 111–147; J. Sci. Comput.38 (2009) 207–228] can be applied to more general operators with strong heterogeneity in the coefficients. We consider here the case of reaction-diffusion problems with piecewise constant coefficients. The problem reduces to determining the coefficients of some transmission conditions to obtain fast convergence of domain decomposition...

We present in this article two components: these components can in fact serve various goals independently, though we consider them here as an ensemble. The first component is a technique for the rapid and reliable evaluation prediction of linear functional outputs of elliptic (and parabolic) partial differential equations with affine parameter dependence. The essential features are (i) (provably) rapidly convergent global reduced–basis approximations — Galerkin projection onto a space $W_N$ spanned...

We present in this article two components: these components can in fact serve various goals independently, though we consider them here as an ensemble. The first component is a technique for the rapid and reliable evaluation prediction of linear functional outputs of elliptic (and parabolic) partial differential equations with affine parameter dependence. The essential features are (i) (provably) rapidly convergent global reduced–basis approximations — Galerkin projection onto a space WN spanned...

Basic concepts for an interval arithmetic standard are discussed in the paper. Interval arithmetic deals with closed and connected sets of real numbers. Unlike floating-point arithmetic it is free of exceptions. A complete set of formulas to approximate real interval arithmetic on the computer is displayed in section 3 of the paper. The essential comparison relations and lattice operations are discussed in section 6. Evaluation of functions for interval arguments is studied in section 7. The desirability...

There is evidence that cancer develops when cells acquire a sequence of mutations that alter normal cell characteristics. This sequence determines a hierarchy among the cells, based on how many more mutations they need to accumulate in order to become cancerous. When cells divide, they exhibit telomere loss and differentiate, which defines another cell hierarchy, on top of which is the stem cell. We propose a mutation-generation model, which combines...

In this article we propose a model to describe the inflammatory process which occurs during ischemic stroke. First, an introduction to some basic concepts about the biological phenomenon is given. Then, a detailed derivation of the model and the numerical scheme used are presented. Finally, the studies of the model robustness and sensitivity are showed and some numerical results on the time and space evolution of the process are presented and discussed....

In this paper we construct analytic-numerical solutions for initial-boundary value systems related to the equation $u_t-A{u}_{xx}-Bu=0$, where $B$ is an arbitrary square complex matrix and $A$ ia s matrix such that the real part of the eigenvalues of the matrix $\frac{1}{2}(A+A^H)$ is positive. Given an admissible error $\epsilon$ and a finite domain $G$, and analytic-numerical solution whose error is uniformly upper bounded by $\epsilon$ in $G$, is constructed.

This paper describes a numerical method for the two-dimensional sine-Gordon equation over a rectangular domain using differentiation matrices, in the theoretical frame of matrix differential equations.

Vasculogenesis and angiogenesis are two different mechanisms for blood vessel formation. Angiogenesis occurs when new vessels sprout from pre-existing vasculature in response to external chemical stimuli. Vasculogenesis occurs via the reorganization of randomly distributed cells into a blood vessel network. Experimental models of vasculogenesis have suggested that the cells exert traction forces onto the extracellular matrix and that these forces may play an important role in the network forming...

Vasculogenesis and angiogenesis are two different mechanisms for blood vessel formation. Angiogenesis occurs when new vessels sprout from pre-existing vasculature in response to external chemical stimuli. Vasculogenesis occurs via the reorganization of randomly distributed cells into a blood vessel network. Experimental models of vasculogenesis have suggested that the cells exert traction forces onto the extracellular matrix and that these forces may play an important role in the network forming...

Shifting a numerically given function $b_{1}exp{a}_{1}t+\cdots +b_{n}exp{a}_{n}t$ we obtain a fundamental matrix of the linear differential system $\dot{y}=Ay$ with a constant matrix $A$. Using the fundamental matrix we calculate $A$, calculating the eigenvalues of $A$ we obtain $a_1,\cdots ,a_n$ and using the least square method we determine $b_1,\cdots ,b_n$.