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

##### MSC:
 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)
##### Software:
CUDA; MKL; OpenCL; rnorrexp; Ziggurat
Full Text:
##### References:
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