A Parallel Algorithm for solving BSDEs

Céline Labart (1, 2) , Jérôme Lelong (2, 3)

1 LAMA - Laboratoire de Mathématiques
2 MATHRISK - Mathematical Risk handling
3 MATHFI - Mathématiques financières

We present a parallel algorithm for solving backward stochastic differential equations. We improve the algorithm proposed in Gobet 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 non linear drivers up to dimension 8 on a cluster of 312 CPUs. We obtained very encouraging speedups greater than 0.7.

Mots clés: backward stochastic differential equations; high performance computing; Monte-Carlo methods; Monte-Carlo methods.; parallel computing

Domaines: Probabilités [math.PR]; Modélisation et simulation; Calcul parallèle, distribué et partagé [cs.DC]

Céline Labart, Jérôme Lelong. A Parallel Algorithm for solving BSDEs. Monte Carlo Methods and Applications, 2013, 19 (1), pp.11-39. ⟨10.1515/mcma-2013-0001⟩. ⟨hal-00680652v2⟩