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- W2134399410 abstract "We study an expansion method for high-dimensional parabolic PDEs which constructs accurate approximate solutions by decomposition into solutions to lower-dimensional PDEs, and which is particularly effective if there are a low number of dominant principal components. The focus of the present article is the derivation of sharp error bounds for the constant coefficient case and a first and second order approximation. We give a precise characterisation when these bounds hold for (non-smooth) option pricing applications and provide numerical results demonstrating that the practically observed convergence speed is in agreement with the theoretical predictions." @default.
- W2134399410 created "2016-06-24" @default.
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- W2134399410 date "2015-05-18" @default.
- W2134399410 modified "2023-09-23" @default.
- W2134399410 title "Error analysis of truncated expansion solutions to high-dimensional parabolic PDEs" @default.
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