کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
6416989 1338387 2012 25 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Fast orthogonal transforms and generation of Brownian paths
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز ریاضی
پیش نمایش صفحه اول مقاله
Fast orthogonal transforms and generation of Brownian paths
چکیده انگلیسی

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(nlog(n)) floating point operations. We highlight some of the connections between the different constructions and we provide some numerical examples.

► Linear constructions of Brownian paths correspond to orthogonal transforms. ► Some orthogonal transforms enhance quasi-Monte Carlo. ► Principal component construction can be approximated by fast cosine transform. ► Orthogonal transforms can also enhance simulation of Levy paths.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Complexity - Volume 28, Issue 2, April 2012, Pages 278-302
نویسندگان
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