Brownian motion simulation: a quantization approach

DOI10.1080/00949655.2014.903490MaRDI QIDQ5220828zbMATH OpenOpenAlexFDO

Authors Jean-Claude Fort, Luis A. Salomón Hernández

Publication date 27 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2014.903490

zbMATH Keywords

functional quantizationsimulation of Wiener process

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Brownian motion (60J65)

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Cites work

• Asymptotic behavior of the distortion-rate function for Gaussian processes in Banach spaces
• Asymptotic behavior of the eigenvalues of certain integral equations. II
• Functional quantization and small ball probabilities for Gaussian processes
• Functional quantization for numerics with an application to option pricing
• Functional quantization of Gaussian processes
• Functional quantization rate and mean regularity of processes with an application to Lévy processes
• scientific article; zbMATH DE number 3305414 (Why is no real title available?)
• Local Distortion andμ-Mass of the Cells of One Dimensional Asymptotically Optimal Quantizers
• On the link between small ball probabilities and the quantization problem for Gaussian measures on Banach spaces
• Sharp asymptotics of the functional quantization problem for Gaussian processes.
• Sharp asymptotics of the Kolmogorov entropy for Gaussian measures

Cited in

(7)

• Simulation of Brownian motion by truncated multiplicative functions
• A theoretical note on the simulation of Brownian motion
• Optimal Choices of Correlation Operators in Brownian Simulation Methods
• scientific article; zbMATH DE number 3938182 (Why is no real title available?)
• Refinement by reducing and reusing random numbers of the hybrid scheme for Brownian semistationary processes
• An efficient algorithm to simulate a Brownian motion over irregular domains
• Brownian bridge and other path-dependent Gaussian processes vectorial simulation

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