Comparison of random number generators via Fourier transform

DOI10.1515/MCMA-2013-0012zbMATH Open1279.65010OpenAlexW2114380658MaRDI QIDQ2864772FDOQ2864772

Authors: Junichi Imai 

Publication date: 26 November 2013

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2013-0012

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zbMATH Keywords

numerical experimentsrandom number generationMonte Carlo methodfast Fourier transforminfinitely divisible distribution

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10) Numerical methods for discrete and fast Fourier transforms (65T50)

Cited In (2)

• Enhanced Box-Muller method for high quality Gaussian random number generation
• A numerical method for hedging Bermudan options under model uncertainty

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