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Volumn 18, Issue 1, 2002, Pages 171-186

The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration

Author keywords

Low discrepancy sequences; Monte Carlo methods; Multi dimensional integration; Quadrature; Quasi Monte Carlo methods

Indexed keywords


EID: 0036222401     PISSN: 0885064X     EISSN: None     Source Type: Journal    
DOI: 10.1006/jcom.2001.0631     Document Type: Article
Times cited : (59)

References (24)
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    • Generating quasi-random paths for stochastic processes
    • No. 4
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    • Morokoff, W.J.1
  • 12
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    • "Pricing, Hedging, and Trading Exotic Options"
    • McGraw-Hill, New York
    • (2000)
    • Nelken, I.1
  • 15
    • 0035644061 scopus 로고    scopus 로고
    • Fast convergence of quasi-Monte Carlo for a class of isotropic integrals
    • (2001) Math. Comp , vol.70 , pp. 297-306
    • Papageorgiou, A.1
  • 21
    • 85011454437 scopus 로고    scopus 로고
    • An introduction to numerical methods for stochastic differential equations
    • (1999) Acta Math , pp. 197-246
    • Platen, E.1
  • 23
    • 0003695244 scopus 로고
    • "Uniform Random Numbers: Theory and Practice"
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    • Tezuka, S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.