2 papers
math.AP2015
Error analysis of truncated expansion solutions to high-dimensional parabolic PDEs
Christoph Reisinger, Rasmus Wissmann
We study an expansion method for high-dimensional parabolic PDEs which constructs accurate approximate solutions by decomposition into solutions to lower-dimensional PDEs, and whic…
q-fin.CP2012
Numerical Valuation of Derivatives in High-Dimensional Settings via PDE Expansions
Christoph Reisinger, Rasmus Wissmann
In this article, we propose a new numerical approach to high-dimensional partial differential equations (PDEs) arising in the valuation of exotic derivative securities. The propose…