Jump to ContentJump to Main Navigation
Show Summary Details
More options …

Monte Carlo Methods and Applications

Managing Editor: Sabelfeld, Karl K.

Editorial Board: Binder, Kurt / Bouleau, Nicolas / Chorin, Alexandre J. / Dimov, Ivan / Dubus, Alain / Egorov, Alexander D. / Ermakov, Sergei M. / Halton, John H. / Heinrich, Stefan / Kalos, Malvin H. / Lepingle, D. / Makarov, Roman / Mascagni, Michael / Mathe, Peter / Niederreiter, Harald / Platen, Eckhard / Sawford, Brian R. / Schmid, Wolfgang Ch. / Schoenmakers, John / Simonov, Nikolai A. / Sobol, Ilya M. / Spanier, Jerry / Talay, Denis

4 Issues per year


CiteScore 2017: 0.67

SCImago Journal Rank (SJR) 2017: 0.417
Source Normalized Impact per Paper (SNIP) 2017: 0.860

Mathematical Citation Quotient (MCQ) 2017: 0.25

Online
ISSN
1569-3961
See all formats and pricing
More options …
Volume 19, Issue 1

Issues

A parallel algorithm for solving BSDEs

Céline Labart
  • Laboratoire de Mathématiques, CNRS UMR 5127, Université de Savoie, Campus Scientifique, 73376 Le Bourget du Lac, France; and Projet MathRisk, INRIA Paris–Rocquencourt, France
  • Email
  • Other articles by this author:
  • De Gruyter OnlineGoogle Scholar
/ Jérôme Lelong
  • Université Grenoble Alpes, Laboratoire Jean Kuntzmann, 51, rue des Mathématiques, BP 53, 38041 Grenoble, Cedex 09, France; and Projet MathRisk, INRIA Paris–Rocquencourt, France
  • Email
  • Other articles by this author:
  • De Gruyter OnlineGoogle Scholar
Published Online: 2013-03-06 | DOI: https://doi.org/10.1515/mcma-2013-0001

Abstract.

We present a parallel algorithm for solving backward stochastic differential equations. We improve the algorithm proposed by Gobet and Labart (2010) based on an adaptive Monte Carlo method with Picard's iterations, and propose a parallel version of it. We test our algorithm on linear and nonlinear drivers up to dimension 8 on a cluster of 312 CPUs. We obtained very encouraging efficiency ratios greater than 0.7.

Keywords: Backward stochastic differential equations; parallel computing; high performance computing; Monte Carlo methods

About the article

Received: 2012-03-19

Accepted: 2013-01-05

Published Online: 2013-03-06

Published in Print: 2013-03-01


Citation Information: Monte Carlo Methods and Applications, Volume 19, Issue 1, Pages 11–39, ISSN (Online) 1569-3961, ISSN (Print) 0929-9629, DOI: https://doi.org/10.1515/mcma-2013-0001.

Export Citation

© 2013 by Walter de Gruyter Berlin Boston.Get Permission

Citing Articles

Here you can find all Crossref-listed publications in which this article is cited. If you would like to receive automatic email messages as soon as this article is cited in other publications, simply activate the “Citation Alert” on the top of this page.

[1]
E. Gobet, J. G. López-Salas, P. Turkedjiev, and C. Vázquez
SIAM Journal on Scientific Computing, 2016, Volume 38, Number 6, Page C652

Comments (0)

Please log in or register to comment.
Log in