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2010
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JC 2010
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Dimension-wise integration of high-dimensional functions with applications to finance
15 years 1 months ago
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wissrech.ins.uni-bonn.de
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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