Generating Quasi-Random Paths for Stochastic Processes

DOI10.1137/S0036144597317959MaRDI QIDQ4229428zbMATH OpenFDO

Authors William J. Morokoff

Publication date 22 February 1999

Published in SIAM Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S0036144597317959

zbMATH Keywords

computational financediscrete sample pathsgeneralized Brownian bridgeparticle reorderingquasi-Monte Carlo methodsquasi-random sequencesstochastic process simulationvariance reduction

Mathematics Subject Classification ID

Stochastic processes (60G99) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Numerical methods (including Monte Carlo methods) (91G60)

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• New Brownian bridge construction in quasi-Monte Carlo methods for computational finance
• Probabilistically induced domain decomposition methods for elliptic boundary-value problems
• Comparison of Point Sets and Sequences for Quasi-Monte Carlo and for Random Number Generation
• How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
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