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Monte Carlo simulation is widely used to numerically solve stochasticdifferential equations. Although the method is flexible and easy to implement,it may be slow to converge. Moreover, an inaccurate solution will result whenusing large time steps. The Seven League scheme, a deep learning-basednumerical method, has been proposed to address these issues. This papergeneralizes the scheme regarding parallel computing, particularly on GraphicsProcessing Units (GPUs), improving the computational speed.

GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations