Another Random Scrambling of Digital (t,s)-Sequences

  • Henri Faure
  • Shu Tezuka

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.

Keywords

Income Nite 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2002

Authors and Affiliations

  • Henri Faure
    • 1
  • Shu Tezuka
    • 2
  1. 1.Institut de Mathématiques de LuminyU.P.R. 9016 CNRSMarseille, Cedex 09France
  2. 2.IBM Tokyo Research LaboratoryYamato, KanagawaJapan

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