50 citations · 50 across the 1 of their papers we have counts for
2 papers
math.NA2024★ 50 cited
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…
math.ST2016
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…