Numerical probabalistic methods for high-dimensional problems in finance

This web page highlights some of the conjectures and open problems concerning Numerical probabalistic methods for high-dimensional problems in finance.

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  1. Open problems
    1. High-dimensional Problems in Finance and extension
      1. Some stochastic control problems in finance
      2. Extensions and BSDE's
    2. Some New Methodologies
      1. The case where $b$ and $a$ does not depend on $Y$ and $Z$
      2. The case where $b$ or $a$ depends on $Y$ and $Z$
    3. A test problem
    4. Reduction of the dimension
    5. References

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