Dimension-wise integration of high-dimensional functions with applications to finance

Journal of Complexity

Volumn 26, Issue 5, 2010, Pages 455-489

  Griebel, Michael ^a   Holtz, Markus ^a  

^a UNIVERSITY OF BONN   (Germany)

Author keywords

ANOVA decomposition; Effective dimension; Numerical integration; Sparse grids

Indexed keywords

ANALYSIS OF VARIANCE (ANOVA);

ANOVA DECOMPOSITIONS; DISCRETIZATION ERRORS; EFFECTIVE DIMENSIONS; HIGH-DIMENSIONAL; HIGH-DIMENSIONAL INTEGRALS; NUMERICAL EXPERIMENTS; NUMERICAL INTEGRATIONS; SPARSE GRID;

NUMERICAL METHODS;

EID: 78651531432     PISSN: 0885064X     EISSN: 10902708     Source Type: Journal    
DOI: 10.1016/j.jco.2010.06.001     Document Type: Conference Paper

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