activity
20132024
most citedStratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs

50 citations · 95 across the 4 of their papers we have counts for

collaborators
Showing math.STShow all

1 paper · 1 filter

math.ST2016★ 43 cited

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…