Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs.
Emmanuel GobetJosé G. López-SalasPlamen TurkedjievCarlos VázquezPublished in: SIAM J. Sci. Comput. (2016)
Keyphrases
- monte carlo
- parallel processing
- markov chain
- monte carlo simulation
- importance sampling
- adaptive sampling
- partial differential equations
- markovian decision
- conditional density estimation
- regression model
- matrix inversion
- variance reduction
- monte carlo tree search
- monte carlo methods
- support vector
- image processing
- model selection
- level set
- multiscale
- quasi monte carlo