Multistep schemes for solving backward stochastic differential equations on GPU
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Publication:2138198
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Cites work
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- A multistep scheme to solve backward stochastic differential equations for option pricing on GPUs
- A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
- A numerical scheme for BSDEs
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- Adapted solution of a backward stochastic differential equation
- An epidemic model integrating direct and fomite transmission as well as household structure applied to COVID-19
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- Feynman-Kac representation of fully nonlinear PDEs and applications
- New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations
- Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance
- On Numerical Approximations of Forward-Backward Stochastic Differential Equations
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- Solving BSDE with Adaptive Control Variate
- Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
- Time discretization and Markovian iteration for coupled FBSDEs
Cited in
(8)- Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU
- Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs
- Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
- A multistep scheme to solve backward stochastic differential equations for option pricing on GPUs
- The Effect of the Number of Neural Networks on Deep Learning Schemes for Solving High Dimensional Nonlinear Backward Stochastic Differential Equations
- Numerical methods for backward stochastic differential equations: a survey
- Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations
- A backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations
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