Abstract
The problems of a design of computations by statistical simulation of trajectories of a the solution of systems of stochastic differential equations on transputer net are considered. The efficiency of the parallel programs for various numerical methods and calculated functionals of the solutions of stochastic differential equations is discussed. Results of numerical experiments are demonstrated.
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References
S.S. Artemiev. The numerical solution of the Cauchy Problem for Systems of Ordinary and Stochastic Differential Equations, Computing Center, Sib. Div. Russian Academy of Sciences, 1993.
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© 1996 Springer-Verlag Berlin Heidelberg
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Artemiev, S.S., Gusev, S.A., Monakhov, O.G. (1996). Numerical solution of stochastic differential equations on transputer network. In: Dongarra, J., Madsen, K., Waśniewski, J. (eds) Applied Parallel Computing Computations in Physics, Chemistry and Engineering Science. PARA 1995. Lecture Notes in Computer Science, vol 1041. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-60902-4_5
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DOI: https://doi.org/10.1007/3-540-60902-4_5
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Online ISBN: 978-3-540-49670-0
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