Fast orthogonal transforms and generation of Brownian paths

We present a number of fast constructions of discrete Brownian paths that can be used as alternatives to principal component analysis and Brownian bridge for stratified Monte Carlo and quasi-Monte Carlo. By fast we mean that a path of length [Formula: see text] can be generated in [Formula: see text...

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Detalles Bibliográficos
Autor principal: Leobacher, Gunther
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Academic Press 2012
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3587409/
https://www.ncbi.nlm.nih.gov/pubmed/23471545
http://dx.doi.org/10.1016/j.jco.2011.11.003
Descripción
Sumario:We present a number of fast constructions of discrete Brownian paths that can be used as alternatives to principal component analysis and Brownian bridge for stratified Monte Carlo and quasi-Monte Carlo. By fast we mean that a path of length [Formula: see text] can be generated in [Formula: see text] floating point operations. We highlight some of the connections between the different constructions and we provide some numerical examples.

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