Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options (Q4561939): Difference between revisions

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Latest revision as of 15:51, 17 July 2024

scientific article; zbMATH DE number 6993400
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Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options
scientific article; zbMATH DE number 6993400

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    Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options (English)
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    13 December 2018
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    Hilbert space valued jump-diffusion
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    Asian option
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    partial integro-differential equation
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    dimension reduction
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    proper orthogonal decomposition
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