Multistep schemes for solving backward stochastic differential equations on GPU

12 Nov 2019 Kapllani Lorenc Teng Long

The goal of this work is to parallelize the multistep scheme for the numerical approximation of the backward stochastic differential equations (BSDEs) in order to achieve both, a high accuracy and a reduction of the computation time as well. In the multistep scheme the computations at each grid point are independent and this fact motivates us to select massively parallel GPU computing using CUDA... (read more)

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  • DISTRIBUTED, PARALLEL, AND CLUSTER COMPUTING