"Fast orthogonal transforms and generation of Brownian paths"
, in Journal of Complexity, Serie 2, Vol. 28, Seite(n) 278-302, 2012
Fast orthogonal transforms and generation of Brownian paths
Sprache des Titels:
We present a number of fast constructions of discrete Brownian paths that can be used as alternatives to principal component analysis and Brownian bridge for stratified Monte Carlo and quasi-Monte Carlo.
By fast we mean that a path of length $n$ can be generated in $O(n\log(n))$ floating point operations.
We highlight some of the connections between the different constructions and we provide some numerical examples.