Fast orthogonal transforms and generation of Brownian paths

Description

We present a couple of fast constructions of discrete Brownian paths that can be used as alternatives to principal component analysis and Brownian bridge for stratified Monte Carlo andquasi-Monte Carlo. By fast we mean that a path of length $n$ can be generated in $O(n \log(n))$ floating point oper- ations. We present practical examples of fast and efficient constuction algorithms combined with quasi-MC integration.

Period	13 Feb 2012
Event title	MCQMC 2012 - Tenth international Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing
Event type	Conference
Location	AustraliaShow on map