most citedGPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations

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math.NA2023★ 1 cited

GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations

Shuaiqiang Liu, Graziana Colonna, Lech A. Grzelak +1

Monte Carlo simulation is widely used to numerically solve stochastic differential equations. Although the method is flexible and easy to implement, it may be slow to converge. Mor…