Accelerating numerical solution of stochastic differential equations with CUDA

DOI10.1016/j.cpc.2009.09.009zbMath1205.65024arXiv0903.3852OpenAlexW2097143687MaRDI QIDQ615026

M. Januszewski, Marcin Kostur

Publication date: 5 January 2011

Published in: Computer Physics Communications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0903.3852

zbMATH Keywords

diffusionstochastic differential equationnumerical integrationJosephson junctionCUDAKuramotographics processing unitadvanced computer architectureNVIDIA, numerical examplestesla

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• CUDA

Cites Work

• Unnamed Item
• Numerical path integration of a non-homogeneous Markov process
• A survey of numerical methods for stochastic differential equations
• NUMERICAL APPROACH TO FOKKER–PLANCK EQUATIONS FOR BROWNIAN MOTORS
• INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS ON A COMPUTER
• Brownian motors: noisy transport far from equilibrium

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