Numerical computation of probabilities for nonlinear SDEs in high dimension using Kolmogorov equation.
Franco FlandoliDejun LuoCristiano RicciPublished in: Appl. Math. Comput. (2023)
Keyphrases
- high dimension
- real valued
- high dimensional
- feature selection
- feature space
- finite difference
- small sample
- numerical methods
- numerical integration
- lower dimension
- input space
- high dimensional data
- nonlinear equations
- support vector machine
- probability distribution
- gauss seidel
- numerical solution
- machine learning
- artificial neural networks