Dimension-wise decompositions and their efficient parallelization

DOI10.1142/9789814436434_0013zbMATH Open1275.91148OpenAlexW1127483050MaRDI QIDQ2849686FDOQ2849686

Authors: Philipp Schröder, Peter Mlynczak, G. Wittum 

Publication date: 24 September 2013

Published in: Recent Developments in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789814436434_0013

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Mathematics Subject Classification ID

Parallel numerical computation (65Y05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

Cited In (7)

• I/O-efficient well-separated pair decomposition and applications
• Accelerating techniques on nested decomposition
• Near-optimal asset allocation in financial markets with trading constraints
• A numerical approach to solve consumption-portfolio problems with predictability in income, stock prices, and house prices
• A unified approach to parallel space decomposition methods
• Multiple decompositions for computational convenience
• Trade-Offs between Depth and Width in Parallel Computation

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