A parallel algorithm for solving BSDEs
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algorithmbackward stochastic differential equationshigh performance computingMonte Carlo methodsnumerical examplesparallel computingPicard's iterations
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Parallel numerical computation (65Y05)
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