Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes
改进了Bennedsen等人提出的布朗半平稳过程数值模拟的混合方案，通过正交投影重用随机变量，并应用于粗糙Bergomi模型分析。
We revisit the Hybrid scheme proposed by Bennedsen et al. (2017) for numerical simulations of Brownian semistationary processes, and propose a Refinement by Reducing and Reusing random numbers of the Hybrid scheme (3R Hybrid scheme). The key idea is to reuse random variables through orthogonal projections. An application to the analysis of the rough Bergomi model is also given.