INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS ON SUPERCOMPUTERS

Award Information
Agency:
National Science Foundation
Branch
n/a
Amount:
$40,000.00
Award Year:
1987
Program:
SBIR
Phase:
Phase I
Contract:
n/a
Award Id:
5289
Agency Tracking Number:
5289
Solicitation Year:
n/a
Solicitation Topic Code:
n/a
Solicitation Number:
n/a
Small Business Information
3200 Alki Ave Sw #302, Seattle, WA, 98116
Hubzone Owned:
N
Minority Owned:
N
Woman Owned:
N
Duns:
n/a
Principal Investigator:
() -
Business Contact:
Dr. Wesley P. Petersen
President
() -
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.

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