Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs (Q2833537): Difference between revisions
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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)
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18 November 2016
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backward stochastic differential equations
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stratified regression Monte Carlo scheme
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dynamic programming equation
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empirical regressions
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parallel computing
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