Numerical solution of parabolic equations in high dimensions
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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- Variational Iterative Methods for Nonsymmetric Systems of Linear Equations
- Wavelet Discretizations of Parabolic Integrodifferential Equations
- \(hp\)-discontinuous Galerkin time stepping for parabolic problems
- \(hp\)-discontinuous Galerkin time-stepping for parabolic problems
- Fast Nyström methods for parabolic boundary integral equations
- Efficientd-multigrid preconditioners for sparse-grid solution of high-dimensional partial differential equations
- High dimensional numerical problems
- Numerical solution of the Poisson equation over hypercubes using reduced Chebyshev polynomial bases
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- Greedy algorithms for high-dimensional non-symmetric linear problems
- Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
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- Multiscale Modelling of Complex Fluids: A Mathematical Initiation
- On Kolmogorov equations for anisotropic multivariate Lévy processes
- 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
- 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 posteriori error analysis and adaptivity for high-dimensional elliptic and parabolic boundary value problems
- 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
- An efficient algorithm for the parallel solution of high-dimensional differential equations
- Multigrid precondititoners for Bi-CGSTAB for the sparse-grid solution of high-dimensional anisotropic diffusion equation
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- Linear complexity solution of parabolic integro-differential equations
- Tensor numerical methods for multidimensional PDEs: theoretical analysis and initial applications
- Laplace transformation method for the Black-Scholes equation
- Low-rank approximation of continuous functions in Sobolev spaces with dominating mixed smoothness
- 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
- Approximation of solutions to multidimensional parabolic equations by approximate approximations
- Efficient solution of structural default models with correlated jumps and mutual obligations
- 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
- Tensor-sparsity of solutions to high-dimensional elliptic partial differential equations
- Numerical solution of a parabolic equation subject to specification of energy.
- Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces
- Bayesian inverse problems for recovering coefficients of two scale elliptic equations
- A posteriori error estimation for \(hp\)-version time-stepping methods for parabolic partial differential equations
- A space-time adaptive low-rank method for high-dimensional parabolic partial differential equations
- Approximations of parabolic integro-differential equations using wavelet-Galerkin compression techniques
- Fast deterministic pricing of options on Lévy driven assets
- An adaptive wavelet method for solving high-dimensional elliptic PDEs
- Sparse adaptive finite elements for radiative transfer
- Greedy algorithms for high-dimensional eigenvalue problems
- Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning
- 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
- On the solution of the Fokker-Planck equation using a high-order reduced basis approximation
- ANISOTROPIC STABLE LEVY COPULA PROCESSES — ANALYTICAL AND NUMERICAL ASPECTS
- An iterative method for the solution of Laplace-like equations in high and very high space dimensions
- Sparse second moment analysis for elliptic problems in stochastic domains
- A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates
- Convergence of a greedy algorithm for high-dimensional convex nonlinear problems
- Adaptive wavelet algorithms for elliptic PDE's on product domains
- Numerical methods for Lévy processes
- On the construction of sparse tensor product spaces
- 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
- Parallel tensor methods for high-dimensional linear PDEs
- Sparse tensor discretizations of high-dimensional parametric and stochastic PDEs
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