On the tractability of the Brownian bridge algorithm

Authors:
G. Larcher;G. Leobacher;K. Scheicher
Affiliations:
Department of Financial Mathematics, University Linz, Altenberger Strasse 69, A-4040 Linz, Austria;Department of Financial Mathematics, University Linz, Altenberger Strasse 69, A-4040 Linz, Austria;Department of Financial Mathematics, University Linz, Altenberger Strasse 69, A-4040 Linz, Austria
Venue:
Journal of Complexity
Year:
2003

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Abstract

Recent results in the theory of quasi-Monte Carlo methods have shown that the weighted Koksma-Hlawka inequality gives better estimates for the error of quasi-Monte Carlo algorithms. We present a method for finding good weights for several classes of functions and apply it to certain algorithms using the Brownian Bridge construction, which are important for financial applications.