Abstract
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.
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