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Solving random ordinary differential equations on GPU clusters using multiple levels of parallelism. (English) Zbl 1382.65024

65C30 Numerical solutions to stochastic differential and integral equations
65Y05 Parallel numerical computation
65Y10 Numerical algorithms for specific classes of architectures
34F05 Ordinary differential equations and systems with randomness
60H25 Random operators and equations (aspects of stochastic analysis)
65C05 Monte Carlo methods
65L06 Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations
68U20 Simulation (MSC2010)
Full Text: DOI
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