Multistep schemes for solving backward stochastic differential equations on GPU
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2019
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| Acceso en línea: | |
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| _version_ | 1866929315912876032 |
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| author | Kapllani, Lorenc Teng, Long |
| author_facet | Kapllani, Lorenc Teng, Long |
| contents | The goal of this work is to parallelize the multistep scheme for the numerical approximation of the backward stochastic differential equations (BSDEs) in order to achieve both, a high accuracy and a reduction of the computation time as well. In the multistep scheme the computations at each grid point are independent and this fact motivates us to select massively parallel GPU computing using CUDA. In our investigations we identify performance bottlenecks and apply appropriate optimization techniques for reducing the computation time, using a uniform domain. Finally, some examples with financial applications are provided to demonstrate the achieved acceleration on GPUs. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1909_13560 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | Multistep schemes for solving backward stochastic differential equations on GPU Kapllani, Lorenc Teng, Long Distributed, Parallel, and Cluster Computing 68U99, 65C30 The goal of this work is to parallelize the multistep scheme for the numerical approximation of the backward stochastic differential equations (BSDEs) in order to achieve both, a high accuracy and a reduction of the computation time as well. In the multistep scheme the computations at each grid point are independent and this fact motivates us to select massively parallel GPU computing using CUDA. In our investigations we identify performance bottlenecks and apply appropriate optimization techniques for reducing the computation time, using a uniform domain. Finally, some examples with financial applications are provided to demonstrate the achieved acceleration on GPUs. |
| title | Multistep schemes for solving backward stochastic differential equations on GPU |
| topic | Distributed, Parallel, and Cluster Computing 68U99, 65C30 |
| url | https://arxiv.org/abs/1909.13560 |