On the tractability of the Brownian bridge algorithm

DOI10.1016/S0885-064X(03)00045-1zbMath1230.65004MaRDI QIDQ652449

Klaus Scheicher, Gunther Leobacher, Gerhard Larcher

Publication date: 14 December 2011

Published in: Journal of Complexity (Search for Journal in Brave)

zbMATH Keywords

algorithmsBrownian bridgequasi-Monte Carlo methodsKoksma-Hlawka inequalityfinancial applications

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Brownian motion (60J65)

Related Items (8)

Liberating the weights ⋮ QMC Galerkin Discretization of Parametric Operator Equations ⋮ Random weights, robust lattice rules and the geometry of the \(cbcrc\) algorithm ⋮ Fast orthogonal transforms and generation of Brownian paths ⋮ Anchor Points Matter in ANOVA Decomposition ⋮ New Brownian bridge construction in quasi-Monte Carlo methods for computational finance ⋮ An iterative algorithm to determine the number of time steps in path generation methods ⋮ Calibration of financial models using quasi-Monte Carlo

Cites Work

• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
• The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
• Über die Diskrepanz mehrdimensionaler Folgen mod 1
• Generating Quasi-Random Paths for Stochastic Processes
• Some applications of multidimensional integration by parts
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