Fast orthogonal transforms and generation of Brownian paths
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Publication:413477
DOI10.1016/j.jco.2011.11.003zbMath1256.65009OpenAlexW2066027744WikidataQ41642851 ScholiaQ41642851MaRDI QIDQ413477
Publication date: 7 May 2012
Published in: Journal of Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jco.2011.11.003
Hartley transformoption pricingHilbert transformBrownian bridgecovariance matrixwavelet transformsWalsh-Hadamard transformdiscrete Lévy processeslocal random interpolation
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Related Items (8)
Efficient Monte Carlo simulation for integral functionals of Brownian motion ⋮ Forward or backward simulation? A comparative study ⋮ High-dimensional integration on \(\mathbb{R}^d\), weighted Hermite spaces, and orthogonal transforms ⋮ Brownian Path Generation and Polynomial Chaos ⋮ An iterative algorithm to determine the number of time steps in path generation methods ⋮ Fast QMC Matrix-Vector Multiplication ⋮ Spatial low-discrepancy sequences, spherical cone discrepancy, and applications in financial modeling ⋮ Integration in Hermite spaces of analytic functions
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