Abstract
This paper presents a new random scrambling of digital (t,s)-sequences and its application to two problems from finance, showing the usefulness of this new class of randomized low-discrepancy sequences; moreover the simplicity of the construction allows efficient implementation and should facilitate the derandomization in this particular class; also the search of the effective dimension in high dimensional applications should be improved by the use of such scramblings.
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Faure, H., Tezuka, S. (2002). Another Random Scrambling of Digital (t,s)-Sequences. In: Fang, KT., Niederreiter, H., Hickernell, F.J. (eds) Monte Carlo and Quasi-Monte Carlo Methods 2000. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-56046-0_16
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DOI: https://doi.org/10.1007/978-3-642-56046-0_16
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-42718-6
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