Brownian Bridge Over Quasi and Pseudo Random Numbers

Typical Monte Carlo (MC) simulation in finance starts with the generation of d‐dimensional vectors of independent uniform [0,1] random numbers. Quasi random numbers (i.e. Sobol sequence) have a significant advantage over pseudo random numbers (like the Mersenne Twister) in MC simulations. A Brownian bridge over a single factor is a typical technique to improve MC convergence Here we expand the Brownian bridge idea to time‐dependent multivariate diffusion.