Generating Quasi-Random Paths for Stochastic Processes

DOI10.1137/S0036144597317959zbMath0913.65143MaRDI QIDQ4229428

William J. Morokoff

Publication date: 22 February 1999

Published in: SIAM Review (Search for Journal in Brave)

zbMATH Keywords

variance reductionquasi-Monte Carlo methodsquasi-random sequencescomputational financegeneralized Brownian bridgestochastic process simulationdiscrete sample pathsparticle reordering

Mathematics Subject Classification ID

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

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