INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS ON SUPERCOMPUTERS

Award Information
Agency: National Science Foundation
Branch: N/A
Contract: N/A
Agency Tracking Number: 5289
Amount: $40,000.00
Phase: Phase I
Program: SBIR
Awards Year: 1987
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
DUNS: N/A
HUBZone Owned: N
Woman Owned: N
Socially and Economically Disadvantaged: N
Principal Investigator
 () -
Business Contact
 Dr. Wesley P. Petersen
Title: President
Phone: () -
Research Institution
N/A
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.

* information listed above is at the time of submission.

Agency Micro-sites

SBA logo
Department of Agriculture logo
Department of Commerce logo
Department of Defense logo
Department of Education logo
Department of Energy logo
Department of Health and Human Services logo
Department of Homeland Security logo
Department of Transportation logo
Environmental Protection Agency logo
National Aeronautics and Space Administration logo
National Science Foundation logo
US Flag An Official Website of the United States Government