SODECL is a new open-source library that parallelizes Euler-Maruyama simulations of SDEs on CPUs and GPUs, reaching up to about 6.7x speedup on 32 cores and 4.5x on a GPU over one CPU core.
Scholten, Luuk F
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SODECL: An Open Source Library for Calculating Multiple Orbits of a System of Stochastic Differential Equations in Parallel
SODECL is a new open-source library that parallelizes Euler-Maruyama simulations of SDEs on CPUs and GPUs, reaching up to about 6.7x speedup on 32 cores and 4.5x on a GPU over one CPU core.