When n >=3 life gets difficult for PDE/FDM scheme.To solve multi-dim PDEs, you can either reduce the dimension...most of the case X2/X1 or...sometimes X/P(t, T)... if none of them works, try to use operator splitting method
lol cant agree more on n >= 3. I havnt used ADE but I will definitely take a look. It seems interestingWhen n >=3 life gets difficult for PDE/FDM scheme.
BTW have you used ADE?
Datasim Financial Forums • View topic - The Alternating Direction Explicit (ADE) Thread
Actually, ADE can handle all n >=3. The only(?) issue is memorylol cant agree more on n >= 3. I havnt used ADE but I will definitely take a look. It seems interesting
update: I just took a quick look and it is very similar to operator splitting method