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INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS ON SUPERCOMPUTERS

Award Information

Agency:
National Science Foundation
Branch:
N/A
Award ID:
5289
Program Year/Program:
1987 / SBIR
Agency Tracking Number:
5289
Solicitation Year:
N/A
Solicitation Topic Code:
N/A
Solicitation Number:
N/A
Small Business Information
Principia Supervietus Inc
3200 Alki Ave Sw #302 Seattle, WA 98116
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Woman-Owned: No
Minority-Owned: No
HUBZone-Owned: No
 
Phase 1
Fiscal Year: 1987
Title: INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS ON SUPERCOMPUTERS
Agency: NSF
Contract: N/A
Award Amount: $40,000.00
 

Abstract:

A GENERIC SOFTWARE PACKAGE FOR NUMERICAL SIMULATION OF LTO RULE STOCHASTIC DIFFERENTIAL EQUATIONS INTENDED FOR USE ON SUPERCOMPUTERS IS DESCRIBED. MANY PROBLEMS OF PHYSICAL INTEREST ARE INTRINSICALLY LARGE DIMENSIONAL WHICH ALSO ENHANCES THE ATTRACTIVENESS OF VECTOR/PARALLEL PROCESSING MACHINES. PROBLEMS OF STABILITY ARE MORE SERIOUS THAN IN ORDINARY DIFFERENTIAL EQUATIONS AND ARE DUE TO THE UNBOUNDED VARIATION OF BROWNIAN MOTION. THE FOLLOWING APPROACHES TO ENHANCE STABILITY, ACCURACY AND EFFICIENCY WILL BE PURSUED. 1. IMPLICIT ALGORITHMS (E.G. TRAPEZOIDAL RULE); 2. VARIANCE REDUCTION METHODS (E.G. ANTITHETIC VARIATES); 3. VARIABLE TIME STEP ALGORITHMS; AND 4. NEW METHODS FOR GENERATING RANDOM NUMBERS.

Principal Investigator:


0

Business Contact:

Dr. Wesley P. Petersen
President
Small Business Information at Submission:

Principia Supervietus Inc
3200 Alki Ave Sw #302 Seattle, WA 98116

EIN/Tax ID:
DUNS: N/A
Number of Employees: N/A
Woman-Owned: No
Minority-Owned: No
HUBZone-Owned: No