Spatial low-discrepancy sequences, spherical cone discrepancy, and applications in financial modeling
نویسندگان
چکیده
منابع مشابه
Discrete Low-Discrepancy Sequences
Holroyd and Propp used Hall’s marriage theorem to show that, given a probability distribution π on a finite set S, there exists an infinite sequence s1, s2, . . . in S such that for all integers k ≥ 1 and all s in S, the number of i in [1, k] with si = s differs from k π(s) by at most 1. We prove a generalization of this result using a simple explicit algorithm. A special case of this algorithm...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2015
ISSN: 0377-0427
DOI: 10.1016/j.cam.2015.02.023