A parallel algorithm for solving BSDEs
نویسندگان
چکیده
منابع مشابه
A parallel algorithm for solving BSDEs
We present a parallel algorithm for solving backward stochastic differential equations. We improve the algorithm proposed in Gobet and Labart (2010), based on an adaptive Monte Carlo method with Picard’s iterations, and propose a parallel version of it. We test our algorithm on linear and non linear drivers up to dimension 8 on a cluster of 312 CPUs. We obtained very encouraging efficiency rati...
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We present a parallel algorithm for solving backward stochastic differential equations (BSDEs in short) which are very useful theoretic tools to deal with many financial problems ranging from option pricing option to risk management. Our algorithm based on Gobet and Labart (2010) exploits the link between BSDEs and non linear partial differential equations (PDEs in short) and hence enables to s...
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ژورنال
عنوان ژورنال: Monte Carlo Methods and Applications
سال: 2013
ISSN: 0929-9629,1569-3961
DOI: 10.1515/mcma-2013-0001