Generating Quasi-Random Paths for Stochastic Processes
type: Item
instance of: scholarly article
title: Generating Quasi-Random Paths for Stochastic Processes
zbMATH Open document ID: 0913.65143
DOI: 10.1137/S0036144597317959
published in: SIAM Review
publication date: 1999-02-22T00:00:00Z
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 60G99
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 1252590
zbMATH Keywords: stochastic process simulation
zbMATH Keywords: computational finance
zbMATH Keywords: quasi-Monte Carlo methods
zbMATH Keywords: generalized Brownian bridge
zbMATH Keywords: particle reordering
zbMATH Keywords: discrete sample paths
zbMATH Keywords: quasi-random sequences
zbMATH Keywords: variance reduction
author: William J. Morokoff
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1252590