The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
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Publication:1599199
DOI10.1006/jcom.2001.0631zbMath0998.65005OpenAlexW2009147603MaRDI QIDQ1599199
Publication date: 15 November 2002
Published in: Journal of Complexity (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/e717752c17494c646426857d2a711cee3d72320d
Brownian motionGaussian processesMonte Carlo methodsquadraturelow discrepancy sequencesrisk managementworst case errorfinancial derivativesquasi Monte Carlo methodsBrownian bridge constructioncovariance matrix decompositionsmulti-dimensional integration
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)
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Cites Work
- Sequences, discrepancies and applications
- When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
- Smoothness and dimension reduction in quasi-Monte Carlo methods
- Generating Quasi-Random Paths for Stochastic Processes
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- Fast convergence of quasi-Monte Carlo for a class of isotropic integrals
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