ListarGI-M2NICA - Artigos por tema "Em-pirical regressions"
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Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
(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 ...