Fast orthogonal transforms and generation of Brownian paths

We present a number of fast constructions of discrete Brownian paths that can be used as alternatives to principal component analysis and Brownian bridge for stratified Monte Carlo and quasi-Monte Carlo. By fast we mean that a path of length n$n$ can be generated in O(nlog(n))$O(nlog\left(n\right))$ floating point operations. We highlight some of the connections between the different constructions and we provide some numerical examples.