Patrimony
The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).
Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs.
BSDEs, CUDA, Dynamic programming equations, Empirical regressions, GPUs, Parallel computing, Semi-linear PDEs
Quasi-Regression Monte-Carlo Scheme for Semi-Linear PDEs and BSDEs with Large Scale Parallelization on GPUs.
BSDEs, CUDA, Dynamic programming equations, Empirical regressions, GPUs, Parallel computing, Semi-linear PDEs
Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression.
Backward stochastic differential equations, Dynamic programming equation, Empirical regressions, Malliavin calculus, Non-asymptotic error estimates
Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations.
Backward stochastic differential equations, Empirical regressions, Importance sampling