A Hardware Generator of Multi-Point Distributed Random Numbers for Monte Carlo Simulation

Publication Type:
Journal Article
Mathematics and Computers in Simulation, 2008, 77 (1), pp. 45 - 56
Issue Date:
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Monte Carlo simulation of weak approximation 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 poposed hardware solution demonstrated that the hardware solution is bottleneck-free, retains the flexibility of the software solution and significantly increases the computational efficiency. Moreover, simulations in Applications wuch as economics insurance, physics, population dynamics, epidemiology, structural mechanics, checmistry and biotechnology can benefit from the obtained speedups.
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