39 citations · 83 across the 36 of their papers we have counts for
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q-fin.PR2012
A Stochastic Delay Model For Pricing Debt And Loan Guarantees: Theoretical Results
Elisabeth Kemajou, Salah-Eldin Mohammed, Antoine Tambue
We consider that the price of a firm follows a non linear stochastic delay differential equation. We also assume that any claim value whose value depends on firm value and time fol…
math.NA2012★ 39 cited
Efficient Simulation of Geothermal Processes in Heterogeneous Porous Media based on the Exponential Rosenbrock-Euler and Rosenbrock-type Methods
Antoine Tambue, Inga Berre, Jan M. Nordbotten
Simulation of geothermal systems is challenging due to coupled physical processes in highly heterogeneous media. Combining the exponential Rosenbrock--Euler and Rosenbrock-type met…
math.NA2012
An exponential Integrator for finite volume discretization of nonlinear parabolic differential equation
Antoine Tambue
We consider the numerical approximation of a general second order semi--linear parabolic partial differential equation. Equations of this type arise in many contexts, such as trans…