Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs (Q2833537)
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scientific article; zbMATH DE number 6654704
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| English | Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs |
scientific article; zbMATH DE number 6654704 |
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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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Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs (English)
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0.8463024497032166
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0.8216039538383484
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0.8110034465789795
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0.7819226980209351
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