A parallel algorithm for solving BSDEs

DOI10.1515/mcma-2013-0001zbMath1263.65005OpenAlexW2035593604MaRDI QIDQ4915854

Jérôme Lelong, Céline Labart

Publication date: 12 April 2013

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2013-0001

zbMATH Keywords

algorithmnumerical examplesMonte Carlo methodsbackward stochastic differential equationsparallel computinghigh performance computingPicard's iterations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Parallel numerical computation (65Y05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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