Search Results - "Latorre, Salvador"

SPDE bridges with observation noise and their spatial approximation by di Nunno, Giulia, Ortiz–Latorre, Salvador, Petersson, Andreas

“…This paper introduces SPDE bridges with observation noise and contains an analysis of their spatially semidiscrete approximations. The SPDEs are considered in…”
Get full text

Variance and interest rate risk in unit-linked insurance policies by Baños, David, Lagunas-Merino, Marc, Ortiz-Latorre, Salvador

“…One of the risks derived from selling long-term policies that any insurance company has arises from interest rates. In this paper, we consider a general class…”
Get full text

Lagrangian analysis of multiscale particulate flows with the particle finite element method by Oñate, Eugenio, Celigueta, Miguel Angel, Latorre, Salvador, Casas, Guillermo, Rossi, Riccardo, Rojek, Jerzy

“…We present a Lagrangian numerical technique for the analysis of flows incorporating physical particles of different sizes. The numerical approach is based on…”
Get full text

A high order time discretization of the solution of the non-linear filtering problem by Crisan, Dan, Ortiz-Latorre, Salvador

“…The solution of the continuous time filtering problem can be represented as a ratio of two expectations of certain functionals of the signal process that are…”
Get full text

A Kusuoka-Lyons-Victoir particle filter by Crisan, Dan, Ortiz-Latorre, Salvador

“…The aim of this paper is to introduce a new numerical algorithm for solving the continuous time nonlinear filtering problem. In particular, we present a…”
Get full text

Strong Solutions of Stochastic Differential Equations with Generalized Drift and Multidimensional Fractional Brownian Initial Noise by Baños, David, Ortiz-Latorre, Salvador, Pilipenko, Andrey, Proske, Frank

“…In this paper, we prove the existence of strong solutions to an stochastic differential equation with a generalized drift driven by a multidimensional…”
Get full text

An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations by Crisan, Dan, Lobbe, Alexander, Ortiz-Latorre, Salvador

“…The filtering equations govern the evolution of the conditional distribution of a signal process given partial, and possibly noisy, observations arriving…”
Get full text

A high order time discretization of the solution of the non-linear filtering problem by Crisan, Dan, Ortiz-Latorre, Salvador

“…The solution of the continuous time filtering problem can be represented as a ratio of two expectations of certain functionals of the signal process that are…”
Get full text

A Kusuoka—Lyons—Victoir particle filter by Crisan, Dan, Ortiz-Latorre, Salvador

“…The aim of this paper is to introduce a new numerical algorithm for solving the continuous time nonlinear filtering problem. In particular, we present a…”
Get full text

A bonded discrete element method for modeling ship–ice interactions in broken and unbroken sea ice fields by Jou, Oriol, Celigueta, Miguel Angel, Latorre, Salvador, Arrufat, Ferrán, Oñate, Eugenio

“…This work investigates the failure patterns of ice cakes and floe-ice when loaded by a moving and sloping structure (ice-breaking ships and cones). In the…”
Get full text

A prototype of a micro-scale model for the distribution of NO2 in urban areas by de-Pouplana, Ignasi, Latorre, Salvador, Masó, Miguel, Alonso, Cristina, Pérez, Eva, Guinart, Xavier, Hernández, Isabel, Baulies, Xavier, Oñate, Eugenio

“…We present a new 2.5D model for predicting the concentration of nitrogen dioxide (NO2) at street level in an urban area. This work develops the first prototype…”
Get full text

OPTIMAL SIMULATION SCHEMES FOR LÉVY DRIVEN STOCHASTIC DIFFERENTIAL EQUATIONS by KOHATSU-HIGA, ARTURO, ORTIZ-LATORRE, SALVADOR, TANKOV, PETER

“…We consider a general class of high order weak approximation schemes for stochastic differential equations driven by Lévy processes with infinite activity…”
Get full text

Intersection Local Time for Two Independent Fractional Brownian Motions by Nualart, David, Ortiz-Latorre, Salvador

Get full text

A FEM-DEM technique for studying the motion of particles in non-Newtonian fluids. Application to the transport of drill cuttings in wellbores by Celigueta, Miguel Angel, Deshpande, Kedar M., Latorre, Salvador, Oñate, Eugenio

“…We present a procedure for coupling the finite element method (FEM) and the discrete element method (DEM) for analysis of the motion of particles in…”
Get full text

A functional variational approach to pricing path dependent insurance policies by Baños, David R, Ortiz-Latorre, Salvador, Font, Oriol Zamora

“…The main purpose of this work is the derivation of a functional partial differential equation (FPDE) for the calculations of equity-linked insurance policies,…”
Get full text

Thiele's PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model by Baños, David R, Ortiz-Latorre, Salvador, Font, Oriol Zamora

“…The main purpose of the paper is to derive Thiele's differential equation for unit-linked policies in the Heston-Hawkes stochastic volatility model introduced…”
Get full text

An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations by Crisan, Dan, Lobbe, Alexander, Ortiz-Latorre, Salvador

“…The filtering equations govern the evolution of the conditional distribution of a signal process given partial, and possibly noisy, observations arriving…”
Get full text

Change of measure in a Heston-Hawkes stochastic volatility model by Baños, David R, Ortiz-Latorre, Salvador, Font, Oriol Zamora

“…We consider the stochastic volatility model obtained by adding a compound Hawkes process to the volatility of the well-known Heston model. A Hawkes process is…”
Get full text

Pathwise approximations for the solution of the non-linear filtering problem by Crisan, Dan, Lobbe, Alexander, Ortiz-Latorre, Salvador

“…We consider high order approximations of the solution of the stochastic filtering problem, derive their pathwise representation in the spirit of the earlier…”
Get full text

A decomposition formula for fractional Heston jump diffusion models by Lagunas-Merino, Marc, Ortiz-Latorre, Salvador

“…We present an option pricing formula for European options in a stochastic volatility model. In particular, the volatility process is defined using a fractional…”
Get full text