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
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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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2 responses to “Stochastic Differential Equations simulation using GPU”

  1. Raymond Tay says:

    The link to the papers are invalid with “Page not found” error messages.

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      Thank you very much for your attention! The problem is in url-encoding: symbol “#” in URL must be replaced with “%23”. We fixed it.

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