Search Results - subject:"Collocation method"

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How to exit from zero interest rate when there is a financial accelerator

Joo, Donghun - In: Journal of economic research 19 (2014) 1, pp. 93-123

Persistent link: https://www.econbiz.de/10010392652

A simplex-based numerical framework for simple and efficient robust design optimization

Congedo, Pietro; Witteveen, Jeroen; Iaccarino, Gianluca - In: Computational Optimization and Applications 56 (2013) 1, pp. 231-251

The Simplex Stochastic Collocation (SSC) method is an efficient algorithm for uncertainty quantification (UQ) in computational problems with random inputs. In this work, we show how its formulation based on simplex tessellation, high degree polynomial interpolation and adaptive refinements can...

Persistent link: https://www.econbiz.de/10010998344

Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach

Fard, Farzad Alavi; Siu, Tak Kuen - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 712-721

We propose a model for the valuation of participating life insurance products under a generalized jump–diffusion model with a Markov-switching compensator. The Esscher transform is employed to determine an equivalent martingale measure in the incomplete market. The results are further...

Persistent link: https://www.econbiz.de/10010719098

Pricing participating products with Markov-modulated jump-diffusion process : an efficient numerical PIDE approach

Fard, Farzad Alavi; Siu, Tak Kuen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 712-721

Persistent link: https://www.econbiz.de/10010227894

Spectral collocation method for stochastic Burgers equation driven by additive noise

Kamrani, Minoo; Hosseini, S. Mohammad - In: Mathematics and Computers in Simulation (MATCOM) 82 (2012) 9, pp. 1630-1644

, and diffusion transport. This paper discusses spectral collocation method to reduce stochastic Burgers equation to a …-stage stochastic Runge-Kutta method of strong order one. The convergence rate of Fourier collocation method for Burgers …

Persistent link: https://www.econbiz.de/10010751839

A Novel Solution for Stochastic Dynamic Game of Water Allocation from a Reservoir Using Collocation Method

Homayounfar, Mehran; Ganji, Arman; Martinez, C. - In: Water Resources Management 25 (2011) 13, pp. 3427-3444

new solution method was used to solve the stochastic model of game based on collocation method. The collocation method was … collocation method would be possible. The proposed solution method was applied to the real case of reservoir operation, which … introduced as an alternative to linear-quadratic (LQ) approximation methods to resolve a dynamic model of game. The collocation …

Persistent link: https://www.econbiz.de/10010794840

Reconstruction of the corrosion boundary for the Laplace equation by using a boundary collocation method

Yang, Fenglian; Yan, Liang; Wei, Ting - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 7, pp. 2148-2156

boundary collocation method is proposed for determining the unknown portion of the boundary from the Cauchy data on a part of …

Persistent link: https://www.econbiz.de/10010749927

Sextic spline solution of fifth-order boundary value problems

Lamnii, A.; Mraoui, H.; Sbibih, D.; Tijini, A. - In: Mathematics and Computers in Simulation (MATCOM) 77 (2008) 2, pp. 237-246

There are few techniques to numerically solve fifth-order boundary-value problems (BVPs). In this paper two sextic spline collocation methods are developed and analyzed. The first one uses spline interpolants and the second is based on spline quasi-interpolants. They are both proved to be...

Persistent link: https://www.econbiz.de/10010870050

Numerical solution of differential equations using Haar wavelets

Lepik, Ü. - In: Mathematics and Computers in Simulation (MATCOM) 68 (2005) 2, pp. 127-143

Haar wavelet techniques for the solution of ODE and PDE is discussed. Based on the Chen–Hsiao method [C.F. Chen, C.H. Hsiao, Haar wavelet method for solving lumped and distributed-parameter systems, IEE Proc.—Control Theory Appl. 144 (1997) 87–94; C.F. Chen, C.H. Hsiao, Wavelet approach to...

Persistent link: https://www.econbiz.de/10011050882

Optimal Monetary Policy When Interest Rates are Bounded at Zero

Kato, R.; Nishiyama, S. - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005706585