Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs.
Emmanuel GobetJosé G. López-SalasCarlos VázquezPublished in: CoRR (2024)
Keyphrases
- monte carlo
- parallel processing
- markov chain
- monte carlo simulation
- importance sampling
- monte carlo methods
- monte carlo tree search
- matrix inversion
- particle filter
- image processing
- model selection
- regression model
- variance reduction
- markovian decision
- conditional density estimation
- semi parametric
- closed form
- state space
- quasi monte carlo
- feature space