On the tractability of the Brownian bridge algorithm

DOI10.1016/S0885-064X(03)00045-1zbMATH Open1230.65004MaRDI QIDQ652449FDOQ652449

Authors: Gerhard Larcher, Gunther Leobacher, Klaus Scheicher 

Publication date: 14 December 2011

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

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zbMATH Keywords

algorithmsquasi-Monte Carlo methodsBrownian bridgefinancial applicationsKoksma-Hlawka inequality

Mathematics Subject Classification ID

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

Cites Work

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• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
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• Some applications of multidimensional integration by parts
• The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
• Generating Quasi-Random Paths for Stochastic Processes
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• Über die Diskrepanz mehrdimensionaler Folgen mod 1
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Cited In (12)

• Title not available (Why is that?)
• Fast orthogonal transforms and generation of Brownian paths
• Algorithms for Brownian dynamics across discontinuities
• An iterative algorithm to determine the number of time steps in path generation methods
• The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
• QMC Galerkin discretization of parametric operator equations
• Anchor points matter in ANOVA decomposition
• Calibration of financial models using quasi-Monte Carlo
• New Brownian bridge construction in quasi-Monte Carlo methods for computational finance
• Random weights, robust lattice rules and the geometry of the \(cbcrc\) algorithm
• Quickest search over Brownian channels
• Liberating the weights

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