Numerical solution to stochastic differential equations on supercomputers

DOI10.1134/S1995423911010010MaRDI QIDQ5407670zbMATH OpenFDO

Authors S. S. Artem'ev, Vladimir D. Korneev

Publication date 7 April 2014

Published in Numerical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/S1995423911010010

zbMATH Keywords

algorithmsclusternumerical experimentsparallelizationstochastic differential equationsupercomputer

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Parallel numerical computation (65Y05) Numerical algorithms for specific classes of architectures (65Y10)

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