Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs

DOI10.1137/16M106371XzbMath1352.65008MaRDI QIDQ2833537

Carlos Vázquez, Emmanuel Gobet, José G. López-Salas, Plamen Turkedjiev

Publication date: 18 November 2016

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

backward stochastic differential equationsparallel computingdynamic programming equationempirical regressionsstratified regression Monte Carlo scheme

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Least squares and related methods for stochastic control systems (93E24) Parallel algorithms in computer science (68W10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• CUDA
• cuRAND

Cites Work

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