most citedOvercoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks

50 citations · 50 across the 1 of their papers we have counts for

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1 paper

math.NA2019★ 50 cited

Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks

Martin Hutzenthaler, Arnulf Jentzen, Philippe von Wurstemberger

Parabolic partial differential equations (PDEs) are widely used in the mathematical modeling of natural phenomena and man made complex systems. In particular, parabolic PDEs are a…