Listar por autor "Gobet, Emmanuel"
Mostrando ítems 1-4 de 4
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Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements
Agarwal, A.; De Marco, S.; Gobet, Emmanuel; López-Salas, José Germán; Noubiagain, F.; Zhou, A. (EDP Science, 2019-04-02)[Abstract]: We introduce a new class of anticipative backward stochastic differential equations with a dependence of McKean type on the law of the solution, that we name MKABSDE. We provide existence and uniqueness results ... -
Quasi-Regression Monte-Carlo Method for Semi-Linear PDEs and BSDEs
Gobet, Emmanuel; López-Salas, José Germán; Vázquez, Carlos (MDPI AG, 2019-08-06)[Abstract] In this work we design a novel and efficient quasi-regression Monte Carlo algorithm in order to approximate the solution of discrete time backward stochastic differential equations (BSDEs), and we analyze the ... -
Quasi-Regression Monte-Carlo Scheme for Semi-Linear PDEs and BSDEs with Large Scale Parallelization on GPUs
Gobet, Emmanuel; López-Salas, José Germán; Vázquez, Carlos (Springer, 2019-04-04)[Abstract]: In this article we design a novel quasi-regression Monte Carlo algorithm in order to approximate the solution of discrete time backward stochastic differential equations, and we analyze the convergence of the ... -
Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
Gobet, Emmanuel; López-Salas, José Germán; Turkedjiev, Plamen; Vázquez, Carlos (Society for Industrial and Applied Mathematics (SIAM), 2016-06)[Abstract]: In this paper, we design a novel algorithm based on Least-Squares Monte Carlo (LSMC) in order to approximate the solution of discrete time Backward Stochastic Differential Equations (BSDEs). Our algorithm allows ...