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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

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math.PR2014★ 2 cited

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…