Numerical solution of parabolic equations in high dimensions
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Publication:5315445
DOI10.1051/M2AN:2004005zbMATH Open1083.65095OpenAlexW2169797654MaRDI QIDQ5315445FDOQ5315445
Authors: Tobias Von Petersdorff, Christoph Schwab 
Publication date: 8 September 2005
Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=M2AN_2004__38_1_93_0
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waveletsconvergencenumerical resultsalgorithmdiscontinuous Galerkin methoderror estimatesfinite elementsheat equationpreconditionerhigh dimensionsparse gridparabolic partial differential equationGMRES iterations
Heat equation (35K05) Abstract parabolic equations (35K90) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
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- High dimensional numerical problems
- A posteriori error analysis and adaptivity for high-dimensional elliptic and parabolic boundary value problems
- Multigrid precondititoners for Bi-CGSTAB for the sparse-grid solution of high-dimensional anisotropic diffusion equation
- Low-rank approximation of continuous functions in Sobolev spaces with dominating mixed smoothness
- A space-time adaptive low-rank method for high-dimensional parabolic partial differential equations
- An iterative method for the solution of Laplace-like equations in high and very high space dimensions
- Efficientd-multigrid preconditioners for sparse-grid solution of high-dimensional partial differential equations
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- On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
- Numerical solution of the Poisson equation over hypercubes using reduced Chebyshev polynomial bases
- Greedy algorithms for high-dimensional non-symmetric linear problems
- A posteriorierror analysis for parabolic variational inequalities
- Multiscale Modelling of Complex Fluids: A Mathematical Initiation
- Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
- Pricing of basket options using dimension reduction and adaptive finite differences in space, and discontinuous Galerkin in time
- A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations
- On Kolmogorov equations for anisotropic multivariate Lévy processes
- First exit time probability for multidimensional diffusions: A PDE-based approach
- Micro-macro models for viscoelastic fluids: modelling, mathematics and numerics
- Hermite spectral method with hyperbolic cross approximations to high-dimensional parabolic PDEs
- A sparse grid space-time discretization scheme for parabolic problems
- Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- On the valuation of interest rate products under multi-factor HJM term-structures
- Krylov implicit integration factor discontinuous Galerkin methods on sparse grids for high dimensional reaction-diffusion equations
- Tensor numerical methods for multidimensional PDEs: theoretical analysis and initial applications
- Laplace transformation method for the Black-Scholes equation
- An efficient algorithm for the parallel solution of high-dimensional differential equations
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- Linear complexity solution of parabolic integro-differential equations
- A tensor decomposition algorithm for large ODEs with conservation laws
- A sparse grid discontinuous Galerkin method for high-dimensional transport equations and its application to kinetic simulations
- A posteriori error bounds for fully-discrete \textit{hp}-discontinuous Galerkin timestepping methods for parabolic problems
- Efficient solution of structural default models with correlated jumps and mutual obligations
- Approximation of solutions to multidimensional parabolic equations by approximate approximations
- Weak Galerkin method with implicit \(\theta \)-schemes for second-order parabolic problems
- Operator-splitting method for high-dimensional parabolic equation via finite element method
- Fast discrete Fourier transform on generalized sparse grids
- Bayesian inverse problems for recovering coefficients of two scale elliptic equations
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- Fast deterministic pricing of options on Lévy driven assets
- Approximations of parabolic integro-differential equations using wavelet-Galerkin compression techniques
- A posteriori error estimation for \(hp\)-version time-stepping methods for parabolic partial differential equations
- An adaptive wavelet method for solving high-dimensional elliptic PDEs
- Sparse adaptive finite elements for radiative transfer
- Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning
- Greedy algorithms for high-dimensional eigenvalue problems
- Space-time adaptive wavelet methods for parabolic evolution problems
- The variable-order discontinuous Galerkin time stepping scheme for parabolic evolution problems is uniformly \(L^\infty\)-stable
- On the approximation of infinite dimensional optimal stopping problems with application to mathematical finance
- ANISOTROPIC STABLE LEVY COPULA PROCESSES — ANALYTICAL AND NUMERICAL ASPECTS
- On the solution of the Fokker-Planck equation using a high-order reduced basis approximation
- Adaptive wavelet algorithms for elliptic PDE's on product domains
- Sparse second moment analysis for elliptic problems in stochastic domains
- Convergence of a greedy algorithm for high-dimensional convex nonlinear problems
- On the construction of sparse tensor product spaces
- A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates
- Numerical methods for Lévy processes
- Operator-splitting finite element algorithms for computations of high-dimensional parabolic problems
- Sparse finite element methods for operator equations with stochastic data.
- Solving chemical master equations by adaptive wavelet compression
- Finite element analysis of a simplified stochastic Hookean dumbbells model arising from viscoelastic flows
- Sparse finite element approximation of high-dimensional transport-dominated diffusion problems
- Quasi-optimal rank-structured approximation to multidimensional parabolic problems by Cayley transform and Chebyshev interpolation
- Wavelet solution of variable order pseudodifferential equations
- Sparse tensor discretizations of high-dimensional parametric and stochastic PDEs
- Parallel tensor methods for high-dimensional linear PDEs
- Fast Nyström methods for parabolic boundary integral equations
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