Timeline for Stochastic methods for solving very high-dimensional PDE
Current License: CC BY-SA 3.0
7 events
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| Nov 20, 2014 at 21:32 | history | bounty ended | CommunityBot | ||
| Nov 19, 2014 at 21:27 | vote | accept | Katastrofa | ||
| Nov 17, 2014 at 12:22 | comment | added | Carlo Beenakker | I added one such approach, RS-HDMR, that seems to have the generality you are looking for. | |
| Nov 17, 2014 at 12:19 | history | edited | Carlo Beenakker | CC BY-SA 3.0 |
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| Nov 17, 2014 at 12:09 | comment | added | Katastrofa | I am aware of the link between Monte Carlo and PDEs in the Black-Scholes theory. I was looking for general stochastic, dimensionality-reducing approaches one could apply to an arbitrary linear PDE. | |
| Nov 17, 2014 at 11:18 | history | edited | Carlo Beenakker | CC BY-SA 3.0 |
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| Nov 16, 2014 at 12:44 | history | answered | Carlo Beenakker | CC BY-SA 3.0 |