Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs (Q2833537): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Least-Squares Monte Carlo for Backward SDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simulation of BSDEs by Wiener chaos expansion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4023645 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Solving BSDE with Adaptive Control Variate / rank
 
Normal rank
Property / cites work
 
Property / cites work: A regression-based Monte Carlo method to solve backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression / rank
 
Normal rank
Property / cites work
 
Property / cites work: Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5689624 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A distribution-free theory of nonparametric regression / rank
 
Normal rank
Property / cites work
 
Property / cites work: A parallel algorithm for solving BSDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions / rank
 
Normal rank
Property / cites work
 
Property / cites work: A numerical scheme for BSDEs / rank
 
Normal rank

Latest revision as of 00:14, 13 July 2024

scientific article
Language Label Description Also known as
English
Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs
scientific article

    Statements

    Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    18 November 2016
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    backward stochastic differential equations
    0 references
    stratified regression Monte Carlo scheme
    0 references
    dynamic programming equation
    0 references
    empirical regressions
    0 references
    parallel computing
    0 references
    0 references
    0 references