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

Mathematics Subject Classification ID

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

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• 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
• Accelerating techniques on nested decomposition
• I/O-efficient well-separated pair decomposition and applications
• Multiple decompositions for computational convenience
• Trade-Offs between Depth and Width in Parallel Computation
• A unified approach to parallel space decomposition methods

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