Numerical solution of stochastic differential equations on Supercomputers

DOI10.1134/S1995423911010010zbMath1313.65004MaRDI QIDQ5407670

V.Korneev, S. S. Artem'ev

Publication date: 7 April 2014

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

zbMATH Keywords

clusteralgorithmsstochastic differential equationnumerical experimentsparallelizationsupercomputer

Mathematics Subject Classification ID

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

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