Vorträge in der Woche 05.09.2016 bis 11.09.2016

Dienstag, 06.09.2016: An explicit integral representation of Siegel-Whittaker functions on Sp(2,R) for the large discrete series representations.

Yasuro Gon

Donnerstag, 08.09.2016: Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs

Emmanuel Gobt (CMAP, École Polytechnique, Paris)

In this work, we design a novel algorithm based on Least-Squares Monte Carlo (LSMC) in order to approximate the solution of discrete time Backward Stochastic Differential Equations (BSDEs). Our algorithm allows massive parallelization of the computations on multicore devices such as graphics processing units (GPUs). Our approach consists of a novel method of stratification which appears to be crucial for large scale parallelization. Joint work with Jose Lopez-Salas, Plamen Turkedjiev, Carlos Vasquez.