title: Fast orthogonal transforms and generation of Brownian paths.
abstract: 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 [Formula: see text] can be generated in [Formula: see text] floating point operations. We highlight some of the connections between the different constructions and we provide some numerical examples.
authors.affiliation: Institut für Finanzmathematik, Universität Linz, Altenbergerstraße 69, A-4040 Linz, Austria.
authors.forename: Gunther
authors.initials: G
authors.lastname: Leobacher
keywords: Fast orthogonal transform; Fast path generation; Quasi-Monte Carlo; Variance reduction