7097

Stochastic Differential Equations simulation using GPU

Narayana Darapaneni, Prakalp Somawanshi, Meghana Joshi
Computational Research Laboratories Ltd, TACO House, Near Indsearch Building, Pune-411004, India
International Simulation Conference of India, 2012

@article{narayana2012stochastic,

   title={STOCHASTIC DIFFERENTIAL EQUATIONS SIMULATION USING GPU},

   author={NARAYANA, D. and SOMAWANSHI, P. and JOSHI, M.},

   year={2012}

}

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We discretize generic stochastic differential equation(SDE)s using Euler and Milstein schemes. We propose GPU based random number generation GPURNG. Using GPURNG, Euler and Milstein methods, we derive algorithms with which we solve the underlying SDE. For a test case, we show the simulation results for European options. We shows that our algorithms give greater than 330 times speedup and around 90% computational time is spent in random number generation.
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