A hardware generator of multi-point distributed random numbers for Monte Carlo simulation
Massimo Piccardi and
Eckhard Platen ()
Mathematics and Computers in Simulation (MATCOM), 2008, vol. 77, issue 1, 45-56
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)
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)
Full text for ScienceDirect subscribers only
Working Paper: A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:77:y:2008:i:1:p:45-56
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 ().