Approximation of solutions to multidimensional parabolic equations by approximate approximations

Abstract

We propose a fast method for high order approximations of the solution of n-dimensional parabolic problems over hyper-rectangular domains in the framework of the method of approximate approximations. This approach, combined with separated representations, makes our method effective also in very high dimensions.We report on numerical results illustrating that our formulas are accurate and provide the predicted approximation rate 6 also in high dimensions.