Randomised quasi-Monte Carlo randomises a low-discrepancy set so that each point is uniform while the set keeps its structure, and estimates the error from independent replicates. The kit uses Owen’s nested uniform scrambling (1995): each binary digit of each coordinate is flipped by a random bit attached to the node of the binary tree that its leading digits define. The Brownian bridge construction assigns the first coordinate to , the next to given its ends, and so on down the levels, so that the first coordinates, where low-discrepancy points are best, carry most of the variance of the path.
Quantitative Finance · Glosarium
Apa itu Randomised quasi-Monte Carlo, Brownian bridge construction?
Dikenal juga sebagai: randomised quasi-Monte Carlo · Brownian bridge construction