EconPapers    
Economics at your fingertips  
 

A hardware generator of multi-point distributed random numbers for Monte Carlo simulation

Nicola Bruti-Liberati, Filippo Martini, Massimo Piccardi and Eckhard Platen ()

Mathematics and Computers in Simulation (MATCOM), 2008, vol. 77, issue 1, 45-56

Abstract: Monte Carlo simulation of weak approximations of stochastic differential equations constitutes an intensive computational task. In applications such as finance, for instance, to achieve “real time” execution, as often required, one needs highly efficient implementations of the multi-point distributed random number generator underlying the simulations. In this paper, a fast and flexible dedicated hardware solution on a field programmable gate array is presented. A comparative performance analysis between a software-only and the proposed hardware solution demonstrates that the hardware solution is bottleneck-free, retains the flexibility of the software solution and significantly increases the computational efficiency. Moreover, simulations in applications such as economics, insurance, physics, population dynamics, epidemiology, structural mechanics, chemistry and biotechnology can benefit from the obtained speedups.

Keywords: Random number generators; Random bit generators; Hardware implementation; Field programmable gate arrays (FPGAs); Monte Carlo simulation; Weak Taylor schemes; Multi-point distributed random variables (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378475407000158
Full text for ScienceDirect subscribers only

Related works:
Working Paper: A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation (2005) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:77:y:2008:i:1:p:45-56

DOI: 10.1016/j.matcom.2007.01.031

Access Statistics for this article

Mathematics and Computers in Simulation (MATCOM) is currently edited by Robert Beauwens

More articles in Mathematics and Computers in Simulation (MATCOM) from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2022-01-18
Handle: RePEc:eee:matcom:v:77:y:2008:i:1:p:45-56