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

Shuaiqiang Liu, Graziana Colonna, Lech A. Grzelak and Cornelis W. Oosterlee

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Abstract: 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. Moreover, an inaccurate solution will result when using large time steps. The Seven League scheme, a deep learning-based numerical method, has been proposed to address these issues. This paper generalizes the scheme regarding parallel computing, particularly on Graphics Processing Units (GPUs), improving the computational speed.

Date: 2023-02
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Published in Chapter in Mathematics: Key Enabling Technology for Scientific Machine Learning by NDNS+, 2021 Cluster

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