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Different Quasi-Monte Carlo algorithms corresponding to the same Monte Carlo algorithm are considered. Even in the case when their constructive dimensions are equal and the same quasi-random points are used, the efficiencies of these algorithms may differ. Global sensitivity analysis provides an insight into this situation. As a model problem two well-known approximations of a Wiener integral are considered: the standard one and the Brownian bridge. The advantage of the Brownian bridge is confirmed.
Published Online: --
Published in Print: 2005-03-01
Copyright 2005, Walter de Gruyter
