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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

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Volume 19, Issue 1


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
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/ 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
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Published Online: 2013-03-06 | DOI: https://doi.org/10.1515/mcma-2013-0001


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.

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

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