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
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author Leobacher, Gunther
author_facet Leobacher, Gunther
author_sort Leobacher, Gunther
collection PubMed
description 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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spelling pubmed-35874092013-03-05 Fast orthogonal transforms and generation of Brownian paths Leobacher, Gunther J Complex Article 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. Academic Press 2012-04 /pmc/articles/PMC3587409/ /pubmed/23471545 http://dx.doi.org/10.1016/j.jco.2011.11.003 Text en © 2012 Elsevier Inc. https://creativecommons.org/licenses/by-nc-nd/3.0/ Open Access under CC BY-NC-ND 3.0 (https://creativecommons.org/licenses/by-nc-nd/3.0/) license
spellingShingle Article
Leobacher, Gunther
Fast orthogonal transforms and generation of Brownian paths
title Fast orthogonal transforms and generation of Brownian paths
title_full Fast orthogonal transforms and generation of Brownian paths
title_fullStr Fast orthogonal transforms and generation of Brownian paths
title_full_unstemmed Fast orthogonal transforms and generation of Brownian paths
title_short Fast orthogonal transforms and generation of Brownian paths
title_sort fast orthogonal transforms and generation of brownian paths
topic Article
url 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
work_keys_str_mv AT leobachergunther fastorthogonaltransformsandgenerationofbrownianpaths

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