6 resultados para stochastic local volatility model leverage surface Dupire formula for local volatility Gyöngy theorem nonlinear partial integro-differential Kolmogorov equation finite difference method

em Acceda, el repositorio institucional de la Universidad de Las Palmas de Gran Canaria. España


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[EN]This work presents a novel approach to solve a two dimensional problem by using an adaptive finite element approach. The most common strategy to deal with nested adaptivity is to generate a mesh that represents the geometry and the input parameters correctly, and to refine this mesh locally to obtain the most accurate solution. As opposed to this approach, the authors propose a technique using independent meshes : geometry, input data and the unknowns. Each particular mesh is obtained by a local nested refinement of the same coarse mesh at the parametric space…

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[EN]In this paper we propose a finite element method approach for modelling the air quality in a local scale over complex terrain. The area of interest is up to tens of kilometres and it includes pollutant sources. The proposed methodology involves the generation of an adaptive tetrahedral mesh, the computation of an ambient wind field, the inclusion of the plume rise effect in the wind field, and the simulation of transport and reaction of pollutants. We apply our methodology to simulate a fictitious pollution episode in La Palma island (Canary Island, Spain)...

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[EN]This paper shows a finite element method for pollutant transport with several pollutant sources. An Eulerian convection–diffusion–reaction model to simulate the pollutant dispersion is used. The discretization of the different sources allows to impose the emissions as boundary conditions. The Eulerian description can deal with the coupling of several plumes. An adaptive stabilized finite element formulation, specifically Least-Squares, with a Crank-Nicolson temporal integration is proposed to solve the problem. An splitting scheme has been used to treat separately the transport and the reaction. A mass-consistent model has been used to compute the wind field of the problem…

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[EN]In previous works, many authors have widely used mass consistent models for wind field simulation by the finite element method. On one hand, we have developed a 3-D mass consistent model by using tetrahedral meshes which are simultaneously adapted to complex orography and to terrain roughness length. In addition, we have included a local refinement strategy around several measurement or control points, significant contours, as for example shorelines, or numerical solution singularities. On the other hand, we have developed a 2.5-D model for simulating the wind velocity in a 3-D domain in terms of the terrain elevation, the surface temperature and the meteorological wind, which is consider as an averaged wind on vertical boundaries...

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Programa de doctorado: Sistemas Inteligentes y Aplicaciones Numéricas en Ingeniería Instituto Universitario (SIANI)

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[EN] In this paper we present a method for the regularization of 3D cylindrical surfaces. By a cylindrical surface we mean a 3D surface that can be expressed as an application S(l; µ) ! R3 , where (l; µ) represents a cylindrical parametrization of the 3D surface. We built an initial cylindrical parametrization of the surface. We propose a new method to regularize such cylindrical surface. This method takes into account the information supplied by the disparity maps computed between pair of images to constraint the regularization of the set of 3D points. We propose a model based on an energy which is composed of two terms: an attachment term that minimizes the difference between the image coordinates and the disparity maps and a second term that enables a regularization by means of anisotropic diffusion. One interesting advantage of this approach is that we regularize the 3D surface by using a bi-dimensional minimization problem.