Solving the Incomplete Markets Model in Parallel Using GPU Computing and the Krusell–Smith Algorithm

This paper demonstrates the potential of graphics processing units in solving the incomplete markets model in parallel using the Krusell–Smith algorithm. We illustrate the power of this approach using the same exercise as in Den Haan et al. (J Econ Dyn Control 34:1–3, 2010 ). We document a speed gain which increases sharply with the number of agents. To reduce entry barriers, we explain our methodology and provide some example algorithms.