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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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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Academic Press
2012
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| 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 |