We propose a new numerical approach to solving high-dimensional partial differential equations (PDEs) that arise in the valuation of exotic derivative securities. The proposed method is extended from ...

This is a preview. Log in through your library . Abstract In this article, we present an Lp-theory (p ≥ 2) for the semi-linear stochastic partial differential equations (SPDEs) of type ∂ t α u=L( ...