{"id":"https://openalex.org/W2550134996","doi":"https://doi.org/10.1137/16m106371x","title":"Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs","display_name":"Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs","publication_year":2016,"publication_date":"2016-01-01","ids":{"openalex":"https://openalex.org/W2550134996","doi":"https://doi.org/10.1137/16m106371x","mag":"2550134996"},"language":"en","primary_location":{"id":"doi:10.1137/16m106371x","is_oa":false,"landing_page_url":"https://doi.org/10.1137/16m106371x","pdf_url":null,"source":{"id":"https://openalex.org/S165512578","display_name":"SIAM Journal on Scientific Computing","issn_l":"1064-8275","issn":["1064-8275","1095-7197"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Scientific Computing","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/2407.21085","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5078591220","display_name":"Emmanuel Gobet","orcid":"https://orcid.org/0000-0002-9940-2493"},"institutions":[{"id":"https://openalex.org/I142476485","display_name":"\u00c9cole Polytechnique","ror":"https://ror.org/05hy3tk52","country_code":"FR","type":"education","lineage":["https://openalex.org/I142476485","https://openalex.org/I4210145102"]},{"id":"https://openalex.org/I4210107641","display_name":"Centre de Math\u00e9matiques Appliqu\u00e9es de l'\u00c9cole polytechnique","ror":"https://ror.org/012e1xn46","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I1326498283","https://openalex.org/I142476485","https://openalex.org/I4210107641","https://openalex.org/I4210141950","https://openalex.org/I4210145102"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"E. Gobet","raw_affiliation_strings":["Centre de Math\u00e9matiques Appliqu\u00e9es - Ecole Polytechnique"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Centre de Math\u00e9matiques Appliqu\u00e9es - Ecole Polytechnique","institution_ids":["https://openalex.org/I142476485","https://openalex.org/I4210107641"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5041586461","display_name":"Jos\u00e9 Germ\u00e1n L\u00f3pez-Salas","orcid":"https://orcid.org/0000-0002-4533-0754"},"institutions":[{"id":"https://openalex.org/I11019714","display_name":"Universidade da Coru\u00f1a","ror":"https://ror.org/01qckj285","country_code":"ES","type":"education","lineage":["https://openalex.org/I11019714"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"J. G. L\u00f3pez-Salas","raw_affiliation_strings":["Department of Mathematics, Faculty of Informatics, Universidade da Coruna"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Faculty of Informatics, Universidade da Coruna","institution_ids":["https://openalex.org/I11019714"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5035217253","display_name":"Plamen Turkedjiev","orcid":null},"institutions":[{"id":"https://openalex.org/I142476485","display_name":"\u00c9cole Polytechnique","ror":"https://ror.org/05hy3tk52","country_code":"FR","type":"education","lineage":["https://openalex.org/I142476485","https://openalex.org/I4210145102"]},{"id":"https://openalex.org/I4210107641","display_name":"Centre de Math\u00e9matiques Appliqu\u00e9es de l'\u00c9cole polytechnique","ror":"https://ror.org/012e1xn46","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I1326498283","https://openalex.org/I142476485","https://openalex.org/I4210107641","https://openalex.org/I4210141950","https://openalex.org/I4210145102"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"P. Turkedjiev","raw_affiliation_strings":["Centre de Math\u00e9matiques Appliqu\u00e9es - Ecole Polytechnique"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Centre de Math\u00e9matiques Appliqu\u00e9es - Ecole Polytechnique","institution_ids":["https://openalex.org/I142476485","https://openalex.org/I4210107641"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5063346914","display_name":"Carlos V\u00e1zquez","orcid":"https://orcid.org/0000-0001-6591-2252"},"institutions":[{"id":"https://openalex.org/I11019714","display_name":"Universidade da Coru\u00f1a","ror":"https://ror.org/01qckj285","country_code":"ES","type":"education","lineage":["https://openalex.org/I11019714"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"C. V\u00e1zquez","raw_affiliation_strings":["Department of Mathematics, Faculty of Informatics, Universidade da Coru\u00f1a, Campus de Elvi\u00f1a s/n, 15071 -A Coru\u00f1a, Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Faculty of Informatics, Universidade da Coru\u00f1a, Campus de Elvi\u00f1a s/n, 15071 -A Coru\u00f1a, Spain","institution_ids":["https://openalex.org/I11019714"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":5.841,"has_fulltext":true,"cited_by_count":50,"citation_normalized_percentile":{"value":0.96002199,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"38","issue":"6","first_page":"C652","last_page":"C677"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11195","display_name":"Simulation Techniques and Applications","score":0.9861000180244446,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10136","display_name":"Statistical Methods and Inference","score":0.9850000143051147,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/parallel-computing","display_name":"Parallel computing","score":0.6610825657844543},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6269479990005493},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.6092889904975891},{"id":"https://openalex.org/keywords/computation","display_name":"Computation","score":0.5741690397262573},{"id":"https://openalex.org/keywords/overhead","display_name":"Overhead (engineering)","score":0.536867082118988},{"id":"https://openalex.org/keywords/graphics","display_name":"Graphics","score":0.48504704236984253},{"id":"https://openalex.org/keywords/scale","display_name":"Scale (ratio)","score":0.43920373916625977},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4098460078239441},{"id":"https://openalex.org/keywords/computational-science","display_name":"Computational science","score":0.4037257134914398},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.3753180205821991},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.32344335317611694}],"concepts":[{"id":"https://openalex.org/C173608175","wikidata":"https://www.wikidata.org/wiki/Q232661","display_name":"Parallel computing","level":1,"score":0.6610825657844543},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6269479990005493},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.6092889904975891},{"id":"https://openalex.org/C45374587","wikidata":"https://www.wikidata.org/wiki/Q12525525","display_name":"Computation","level":2,"score":0.5741690397262573},{"id":"https://openalex.org/C2779960059","wikidata":"https://www.wikidata.org/wiki/Q7113681","display_name":"Overhead (engineering)","level":2,"score":0.536867082118988},{"id":"https://openalex.org/C21442007","wikidata":"https://www.wikidata.org/wiki/Q1027879","display_name":"Graphics","level":2,"score":0.48504704236984253},{"id":"https://openalex.org/C2778755073","wikidata":"https://www.wikidata.org/wiki/Q10858537","display_name":"Scale (ratio)","level":2,"score":0.43920373916625977},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4098460078239441},{"id":"https://openalex.org/C459310","wikidata":"https://www.wikidata.org/wiki/Q117801","display_name":"Computational science","level":1,"score":0.4037257134914398},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.3753180205821991},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.32344335317611694},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.0},{"id":"https://openalex.org/C121684516","wikidata":"https://www.wikidata.org/wiki/Q7600677","display_name":"Computer graphics (images)","level":1,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1137/16m106371x","is_oa":false,"landing_page_url":"https://doi.org/10.1137/16m106371x","pdf_url":null,"source":{"id":"https://openalex.org/S165512578","display_name":"SIAM Journal on Scientific Computing","issn_l":"1064-8275","issn":["1064-8275","1095-7197"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Scientific Computing","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:2407.21085","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2407.21085","pdf_url":"https://arxiv.org/pdf/2407.21085","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:HAL:hal-01186000v1","is_oa":false,"landing_page_url":"https://polytechnique.hal.science/hal-01186000","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SIAM Journal on Scientific Computing, 2016, 38 (6), pp.C652-C677. &#x27E8;10.1137/16M106371X&#x27E9;","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:ruc.udc.es:2183/38128","is_oa":true,"landing_page_url":"http://hdl.handle.net/2183/38128","pdf_url":null,"source":{"id":"https://openalex.org/S4306402204","display_name":"RUC (Universidade Da Coru\u00f1a)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I11019714","host_organization_name":"Universidade da Coru\u00f1a","host_organization_lineage":["https://openalex.org/I11019714"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:zenodo.org:14537577","is_oa":true,"landing_page_url":"https://doi.org/10.1137/16M106371X","pdf_url":null,"source":{"id":"https://openalex.org/S4306400562","display_name":"Zenodo (CERN European Organization for Nuclear Research)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I67311998","host_organization_name":"European Organization for Nuclear Research","host_organization_lineage":["https://openalex.org/I67311998"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SIAM Journal on Scientific Computing, 38(6), C652-C677, (2016-11-17)","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:2407.21085","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2407.21085","pdf_url":"https://arxiv.org/pdf/2407.21085","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G3846589334","display_name":"Control and simulAtion of Electrical Systems, interAction and RobustnesS","funder_award_id":"ANR-15-CE05-0024","funder_id":"https://openalex.org/F4320320883","funder_display_name":"Agence Nationale de la Recherche"},{"id":"https://openalex.org/G6637114482","display_name":null,"funder_award_id":"MTM2013-47800-C2-1-P","funder_id":"https://openalex.org/F4320321837","funder_display_name":"Ministerio de Econom\u00eda y Competitividad"}],"funders":[{"id":"https://openalex.org/F4320320883","display_name":"Agence Nationale de la Recherche","ror":"https://ror.org/00rbzpz17"},{"id":"https://openalex.org/F4320321837","display_name":"Ministerio de Econom\u00eda y Competitividad","ror":"https://ror.org/034900433"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2550134996.pdf","grobid_xml":"https://content.openalex.org/works/W2550134996.grobid-xml"},"referenced_works_count":11,"referenced_works":["https://openalex.org/W1948872067","https://openalex.org/W1981151146","https://openalex.org/W2004794023","https://openalex.org/W2012371480","https://openalex.org/W2035593604","https://openalex.org/W2038078026","https://openalex.org/W2043281212","https://openalex.org/W2051031503","https://openalex.org/W2095445700","https://openalex.org/W2148965913","https://openalex.org/W3100801504"],"related_works":["https://openalex.org/W2393870460","https://openalex.org/W2254578859","https://openalex.org/W4284894156","https://openalex.org/W2161803855","https://openalex.org/W3110774753","https://openalex.org/W2134539662","https://openalex.org/W2059096050","https://openalex.org/W2093391715","https://openalex.org/W1972737581","https://openalex.org/W1976848547"],"abstract_inverted_index":{"In":[0,63],"this":[1,64],"paper,":[2],"we":[3,66,81],"design":[4],"a":[5,49],"novel":[6,50],"algorithm":[7,28],"based":[8],"on":[9,35],"least-squares":[10],"Monte-Carlo":[11],"(LSMC)":[12],"in":[13],"order":[14],"to":[15,56,70,75],"approximate":[16],"the":[17,33,68,71,76,83,88],"solution":[18],"of":[19,32,48,52,78,87],"discrete":[20],"time":[21],"backward":[22],"stochastic":[23],"differential":[24],"equations":[25],"(BSDEs).":[26],"Our":[27,45],"allows":[29],"massive":[30],"parallelization":[31],"computations":[34],"many":[36],"core":[37],"processors":[38],"such":[39],"as":[40],"graphics":[41],"processing":[42],"units":[43],"(GPUs).":[44],"approach":[46],"consists":[47],"method":[51,89],"stratification":[53],"which":[54],"appears":[55],"be":[57],"crucial":[58],"for":[59],"large":[60],"scale":[61],"parallelization.":[62],"way,":[65],"minimize":[67],"exposure":[69],"memory":[72,85],"requirements":[73],"due":[74],"storage":[77],"simulations.":[79],"Indeed,":[80],"note":[82],"lower":[84],"overhead":[86],"compared":[90],"with":[91],"previous":[92],"works.":[93]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":5},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":7},{"year":2022,"cited_by_count":6},{"year":2021,"cited_by_count":10},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":8},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":1}],"updated_date":"2026-08-18T07:49:30.821534","created_date":"2025-10-10T00:00:00"}
