Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs.
Emmanuel GobetJosé G. López-SalasPlamen TurkedjievCarlos VázquezPublished in: CoRR (2024)
Keyphrases
- monte carlo
- monte carlo simulation
- parallel processing
- markov chain
- importance sampling
- regression model
- partial differential equations
- adaptive sampling
- monte carlo methods
- particle filter
- matrix inversion
- optimal strategy
- monte carlo tree search
- markovian decision
- level set
- anisotropic diffusion
- search algorithm
- denoising