S. S. Artemiev, V. D. Korneev, “Numerical solution to stochastic differential equations on supercomputers”, Sib. Zh. Vychisl. Mat., 14:1 (2011), 5–17; Num. Anal. Appl., 4:1 (2011), 1

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Sibirskii Zhurnal Vychislitel'noi Matematiki

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Sibirskii Zhurnal Vychislitel'noi Matematiki, 2011, Volume 14, Number 1, Pages 5–17 (Mi sjvm422)

This article is cited in 8 scientific papers (total in 8 papers)

Numerical solution to stochastic differential equations on supercomputers

S. S. Artemiev^ab, V. D. Korneev^ab

^a Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences, Novosibirsk
^b Novosibirsk State University, Novosibirsk

Full-text PDF (241 kB) Citations (8)

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Abstract: This paper deals with some issues of the dependence of the accuracy of algorithms for the numerical solutions of stochastic differential equations (SDEs) on the size of an ensemble of simulated trajectories. The problems of accuracy arise due to the necessity of estimating functionals of SDEs-solutions with an increasing dispersion, a strong asymmetry of solutions distributions, indeterminacy of the time of arrival of trajectories of solutions at the boundaries of given domains. The ways of parallelization of statistical algorithms on a multi-processor cluster are described. The results of numerical experiments obtained on the supercomputer of Siberian Supercomputer Center are presented.

Key words: stochastic differential equations, stochastic equations, parallelization, supercomputer, cluster.

Received: 16.02.2010
Revised: 23.03.2010

English version:
Numerical Analysis and Applications, 2011, Volume 4, Issue 1, Pages 1–11
DOI: https://doi.org/10.1134/S1995423911010010

Bibliographic databases:

Document Type: Article

UDC: 519.676

Language: Russian

Citation: S. S. Artemiev, V. D. Korneev, “Numerical solution to stochastic differential equations on supercomputers”, Sib. Zh. Vychisl. Mat., 14:1 (2011), 5–17; Num. Anal. Appl., 4:1 (2011), 1–11

Citation in format AMSBIB

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\paper Numerical solution to stochastic differential equations on supercomputers

\jour Sib. Zh. Vychisl. Mat.

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\pages 5--17

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\jour Num. Anal. Appl.

\yr 2011

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\pages 1--11

\crossref{https://doi.org/10.1134/S1995423911010010}

\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-79952466410}

Linking options:

https://www.mathnet.ru/eng/sjvm422

https://www.mathnet.ru/eng/sjvm/v14/i1/p5

This publication is cited in the following 8 articles:

Pierro V., Troiano L., Villa E.M., Pagano S., Filatrella G., “Parallel Simulation of Josephson Junctions With Multiplicative Noise”, IEEE Trans. Appl. Supercond., 28:7 (2018), 1700404
Pierro V., Troiano L., Mejuto E., Filatrella G., “Stochastic First Passage Time Accelerated With Cuda”, J. Comput. Phys., 361 (2018), 136–149
Abdullin A., Stepanov D., Akhin M., “Distributed Analysis of the Bmc Kind: Making It Fit the Tornado Supercomputer”, Tools and Methods of Program Analysis, Communications in Computer and Information Science, 779, eds. Itsykson V., Scedrov A., Zakharov V., Springer International Publishing Ag, 2018, 1–10
S. S. Artemiev, M. A. Yakunin, “Analysis of the accuracy of estimates of the first moments of solving SDE with Wiener and Poisson components by Monte Carlo method”, Num. Anal. Appl., 9:1 (2016), 24–33
S. S. Artemiev, A. A. Ivanov, “Analysis of the influence of random noises for self-oscillating chemical reactions by a Monte-Carlo method on supercomputers”, J. Appl. Industr. Math., 10:4 (2016), 468–473
S. S. Artemiev, A. A. Ivanov, “Analysis of the effect of random noise on the strange attractors of Monte Carlo on a supercomputer”, Num. Anal. Appl., 8:2 (2015), 101–112
S. S. Artemiev, V. D. Korneev, M. A. Yakunin, “Numerical solution to stochastic differential equations with a random structure on supercomputers”, Num. Anal. Appl., 6:4 (2013), 261–267
S. S. Artemiev, A. A. Ivanov, V. D. Korneev, “Numerical analysis of stochastic oscillators on supercomputers”, Num. Anal. Appl., 5:1 (2012), 25–35

Citing articles in Google Scholar: Russian citations, English citations
Related articles in Google Scholar: Russian articles, English articles

Sibirskii Zhurnal Vychislitel'noi Matematiki

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