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    Dimension-wise integration of high-dimensional functions with applications to finance
    14 years 3 months ago
    Dimension-wise integration of high-dimensional functions with applications to finance
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    We present a new general class of methods for the computation of high-dimensional integrals. The quadrature schemes result by truncation and discretization of the anchored-ANOVA d...
    Michael Griebel, Markus Holtz
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