Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
type: Item
instance of: scholarly article
zbMATH Open document ID: 1352.65008
DOI: 10.1137/16M106371X
author: Emmanuel Gobet
author: J. G. López-Salas
author: P. Turkedjiev
author: Carlos Vázquez
published in: SIAM Journal on Scientific Computing
publication date: 2016-11-18T00:00:00Z
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 49L20
Mathematics Subject Classification ID: 93E24
Mathematics Subject Classification ID: 68W10
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 6654704
zbMATH Keywords: backward stochastic differential equations
zbMATH Keywords: stratified regression Monte Carlo scheme
zbMATH Keywords: dynamic programming equation
zbMATH Keywords: empirical regressions
zbMATH Keywords: parallel computing
describes a project that uses: CUDA
describes a project that uses: cuRAND
MaRDI profile type: Publication
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title: Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
description: scientific article; zbMATH DE number 6654704