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Here we present stochastic differential equations (SDEs) on a memristorcrossbar, where the source of gaussian noise is derived from the randomconductance due to ion drift in the devices during programming. We examine theeffects of line resistance on the generation of normal random vectors, showingthe skew and kurtosis are within acceptable bounds. We then show theimplementation of a stochastic differential equation solver for theBlack-Scholes SDE, and compare the distribution with the analytic solution. Wedetermine that the random number generation works as intended, and calculatethe energy cost of the simulation.

SDEX: Monte Carlo Simulation of Stochastic Differential Equations on Memristor Crossbars