most citedPricing high-dimensional Bermudan options with hierarchical tensor formats

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stat.ML2021

Solving high-dimensional parabolic PDEs using the tensor train format

Lorenz Richter, Leon Sallandt, Nikolas Nüsken

High-dimensional partial differential equations (PDEs) are ubiquitous in economics, science and engineering. However, their numerical treatment poses formidable challenges since tr…