A parallel algorithm for solving BSDEs

Labart Céline () and Lelong Jérôme ()
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Labart Céline: Laboratoire de Mathématiques, CNRS UMR 5127, Université de Savoie, Campus Scientifique, 73376 Le Bourget du Lac, France; and Projet MathRisk, INRIA Paris–Rocquencourt, France
Lelong Jérôme: Université Grenoble Alpes, Laboratoire Jean Kuntzmann, 51, rue des Mathématiques, BP 53, 38041 Grenoble, Cedex 09, France; and Projet MathRisk, INRIA Paris–Rocquencourt, France

Monte Carlo Methods and Applications, 2013, vol. 19, issue 1, 11-39

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 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1515/mcma-2013-0001

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