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

DOI10.1016/J.MATCOM.2007.01.031zbMath1135.65300OpenAlexW2122443118MaRDI QIDQ2479439

Massimo Piccardi, Filippo Martini, Nicola Bruti-Liberati, Eckhard Platen

Publication date: 26 March 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/8299

zbMATH Keywords

numerical examplesMonte Carlo simulationrandom number generatorshardware implementationmulti-point distributed random variablesfield programmable gate arrays (FPGAs)random bit generatorsweak Taylor schemes

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

Related Items (4)

Approximation of jump diffusions in finance and economics ⋮ Simplified order 4.0 weak Taylor schemes for additive noise ⋮ Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations ⋮ A simplified weak simulation method for the probabilistic response analysis of nonlinear random vibration problems

Uses Software

• Handel-C

Cites Work

• Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
• Computational Science - ICCS 2004
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