50 citations · 95 across the 4 of their papers we have counts for
4 papers
Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
E. Gobet, J. G. López-Salas, P. Turkedjiev +1
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 Equation…
Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression
Emmanuel Gobet, Plamen Turkedjiev
We design a numerical scheme for solving a Dynamic Programming equation with Malliavin weights arising from the time-discretization of backward stochastic differential equations wi…
Multilevel approximation of backward stochastic differential equations
Dirk Becherer, Plamen Turkedjiev
We develop a multilevel approach to compute approximate solutions to backward differential equations (BSDEs). The fully implementable algorithm of our multilevel scheme constructs…
Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
Plamen Turkedjiev
Two discretizations of a class of locally Lipschitz Markovian backward stochastic differential equations (BSDEs) are studied. The first is the classical Euler scheme which approxim…