Dimension-wise integration of high-dimensional functions with applications to finance
نویسندگان
چکیده
منابع مشابه
Dimension-wise integration of high-dimensional functions with applications to finance
We present a new general class of methods for the computation of high-dimensional integrals. The quadrature schemes result by truncation and discretization of the anchored-ANOVA decomposition. They are designed to exploit low effective dimensions and include sparse grid methods as special case. To derive bounds for the resulting modelling and discretization errors, we introduce effective dimens...
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ژورنال
عنوان ژورنال: Journal of Complexity
سال: 2010
ISSN: 0885-064X
DOI: 10.1016/j.jco.2010.06.001