{"paper":{"title":"An algorithm (CoDeFi) for overcoming the curse of dimensionality in mathematical finance","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.NA","authors_text":"Jean-Marc Mercier, Philippe G. LeFloch","submitted_at":"2016-06-30T18:47:37Z","abstract_excerpt":"We present an algorithm (CoDeFi) which overcomes the curse of dimensionality (CoD) in scientific computations and, especially, in mathematical finance (Fi). Our method applies a broad class of partial differential equations such as Kolmogorov-type equations and, for instance, the Black and Scholes equation. As a main feature, our algorithm allows one to solve partial differential equations in large dimensions and provides a general framework for stochastic problems. In insurance or finance applications, the number of dimensions corresponds to the number of risk sources and it is crucial to hav"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1606.09612","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}