Asymptotic expansion around principal components and the complexity of dimension adaptive algorithms
In this short article, we describe how the correlation of typical diffusion processes arising e.g. in financial modelling can be exploited - by means of asymptotic analysis of principal components - to make Feynman-Kac PDEs of high dimension computationally tractable. We explore the links to dimensi...
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Format: | Journal article |
Language: | English |
Published: |
2013
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