ListarGI-M2NICA - Artigos por tema "Monte carlo schemes"
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Quasi-Regression Monte-Carlo Scheme for Semi-Linear PDEs and BSDEs with Large Scale Parallelization on GPUs
(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 ...