Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options (Q4561939): Difference between revisions
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scientific article; zbMATH DE number 6993400
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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