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I. Wavelet calculations.
II. Calculation of approximation spaces in one dimension.
III. Calculation of approximation spaces in one dimension II.
IV. One dimensional problems.
V. Stochastic optimization in one dimension.
VI. Scalar product in N-dimensions.
1. Two-sided area of integration, positive a.
2. Two-sided area of integration, negative a.
3. Indexing integration domains.
4. Summary. Calculation of scalar product in N dimensions.
5. Indexing integration domains II.
6. Scalar product in N-dimensions. Test case 1.
7. Scalar product in N-dimensions. Test case 2.
8. Scalar product in N-dimensions. Test case 3.
9. Implementation of scalar product in N-dimensions.
VII. Wavelet transform of payoff function in N-dimensions.
VIII. Solving N-dimensional PDEs.
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Summary. Calculation of scalar product in N dimensions.


e start from a set MATH MATH and a function $u$ : MATH for a given vector MATH and $c\in\QTR{cal}{R}$ and MATH We introduce the notation MATH for the set of scales in the definition of MATH , the notation MATH for the set of translations, the notation MATH MATH for the intervals of integration and the notation MATH for multi-indexes.

We fix MATH and concentrate on calculating MATH where MATH

1. Form MATH MATH MATH

2. Let $T^{n-1}$ be a one-to-one onto mapping: MATH for some MATH . For every MATH we form the subdomain MATH and the set MATH of vertices of MATH . For each pair $\vec{d},\vec{k}$ we calculate MATH

Let $T^{0}$ be a one-to-one onto mapping: MATH for some $L_{0}$ , where MATH Let $T^{+}$ be a one-to-one onto mapping: MATH for some $L_{+}$ , where MATH Thus $T^{0}$ indexes boundary subdomains and $T^{+}$ indexes internal subdomains.

3. We introduce MATH

4. For every MATH we form MATH and calculate MATH

5. For every $t\in$ MATH we form MATH and calculate MATH as follows: MATH where we adopt the convention MATH and calculate $J$ recursively in $n$ as follows.

For $n=1$ , MATH For $n>1$ , $a_{n-1}>0$ , MATH , MATH MATH MATH MATH MATH where MATH MATH MATH MATH MATH MATH MATH For $n>1$ , $a_{n-1}>0$ , $c_{-}=-\infty$ , MATH MATH MATH For $n>1$ , $a_{n-1}>0$ , $c_{+}=+\infty$ , MATH MATH MATH

For $n>1$ , $a_{n-1}<0$ , MATH , MATH MATH MATH MATH MATH where MATH MATH MATH MATH MATH MATH For $n>1$ , $a_{n-1}<0$ , $c_{-}=-\infty$ , MATH MATH MATH For $n>1$ , $a_{n-1}<0$ , $c_{+}=+\infty$ , MATH MATH MATH





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