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

algorithms; Brownian bridge; quasi-Monte Carlo methods; Koksma-Hlawka inequality; financial applications

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

60J65: Brownian motion

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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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