Displaying similar documents to “Variational sensitivity analysis of parametric Markovian market models”

A mathematical model of inflammation during ischemic stroke

Cristiana Di Russo, Jean-Baptiste Lagaert, Guillemette Chapuisat, Marie-Aimée Dronne (2010)

ESAIM: Proceedings

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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...

A Coherent Derivation of an Average Ion Model Including the Evolution of Correlations Between Different Shells

Daniel Bouche, Alain Decoster, Laurent Desvillettes, Valeria Ricci (2013)

MathematicS In Action

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We propose in this short note a method enabling to write in a systematic way a set of refined equations for average ion models in which correlations between populations are taken into account, starting from a microscopic model for the evolution of the electronic configuration probabilities. Numerical simulations illustrating the improvements with respect to standard average ion models are presented at the end of the paper.

Exterior problem of the Darwin model and its numerical computation

Lung-an Ying, Fengyan Li (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

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In this paper, we study the exterior boundary value problems of the Darwin model to the Maxwell's equations. The variational formulation is established and the existence and uniqueness is proved. We use the infinite element method to solve the problem, only a small amount of computational work is needed. Numerical examples are given as well as a proof of convergence.

Processes in concrete during fire

Rozehnalová, Petra, Kučerová, Anna, Štěpánek, Petr

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Paper deals with hydro-thermal performance of concrete exposed to a fire. It is introduced mathematical model, numerical approach and some results provided by the model.

Option pricing in a CEV model with liquidity costs

Krzysztof Turek (2016)

Applicationes Mathematicae

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The goal of this paper is to make an attempt to generalise the model of pricing European options with an illiquid underlying asset considered by Rogers and Singh (2010). We assume that an investor's decisions have only a temporary effect on the price, which is proportional to the square of the change of the number of asset units in the investor's portfolio. We also assume that the underlying asset price follows a CEV model. To prove existence and uniqueness of the solution, we use techniques...

Reliable numerical modelling of malaria propagation

István Faragó, Miklós Emil Mincsovics, Rahele Mosleh (2018)

Applications of Mathematics

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We investigate biological processes, particularly the propagation of malaria. Both the continuous and the numerical models on some fixed mesh should preserve the basic qualitative properties of the original phenomenon. Our main goal is to give the conditions for the discrete (numerical) models of the malaria phenomena under which they possess some given qualitative property, namely, to be between zero and one. The conditions which guarantee this requirement are related to the time-discretization...