An embedded DSL for stochastic processes: research article

We present a domain specific language embedded in Haskell for specifying stochastic processes, called SPL ;. It is designed with the goal of matching the notation used in mathematical finance, where the price of a financial contract is specified using stochastic processes and distributions. SPL ; is declarative in the sense that it is agnostic of the choice of discretization and of the computational model. We provide an implementation of SPL ; that performs Monte Carlo simulation using GPGPU, and we present data indicating that this gives a 100x speedup compared to hand-written sequential C, and that the speedup scales linearly with the number of available cores.