The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration (Q1599199)

In this very interesting paper the author concentrates on one of the techniques aimed at speeding up quasi Monte Carlo. More precisely, he concentrates on the Brownian bridge construction for pricing of financial derivatives. In the introduction the state-of-art in this field is summarized. The second section describes the simulation of Gaussian processes including paths of the Brownian motion. In the third section an example of an integrand for which the quasi Monte Carlo convergence using the Brownian bridge construction is worse than that using standard construction (or discretization) is presented. In this way the author shows that Brownian bridge does not offer a consistent advantage in quasi Monte Carlo integration. He considers integrals of functions of \(d\) variables with Gaussian weights such as the ones encountered in the valuation of financial derivatives and in risk management. Finally, in the fourth section the author study under weak assumptions on the class of the functions quasi Monte Carlo methods that are based on different covariance matrix decompositions and shows that different covariance matrix decompositions lead to the same worse case quasi Monte Carlo error and are, therefore, equivalent.