Parallelization in Time of ( Stochastic ) Ordinary Differential Equations

@inproceedings{Bal2006ParallelizationIT,
  title={Parallelization in Time of ( Stochastic ) Ordinary Differential Equations},
  author={Guillaume Bal},
  year={2006}
}
This paper analyzes some properties of the parareal algorithm, which can be used to parallelize the time discretizations of differential equations. The parareal algorithm proceeds as follows. Firstly, a coarse time step is used to solve the equation sequentially on a given time interval. Secondly, a fine discretization is used to solve the evolution equation on each coarse time step. This step may be performed in parallel. Finally, the local errors between the coarse and fine solutions are… CONTINUE READING