Variance reduction for Monte Carlo simulation of stochastic environmental models (Q1861685): Difference between revisions
From MaRDI portal
Set profile property. |
ReferenceBot (talk | contribs) Changed an Item |
||
Property / cites work | |||
Property / cites work: Variance reduction for Monte Carlo simulation of stochastic environmental models / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Higher-order implicit strong numerical schemes for stochastic differential equations / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A survey of numerical methods for stochastic differential equations / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3707286 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3993078 / rank | |||
Normal rank |
Revision as of 13:23, 5 June 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Variance reduction for Monte Carlo simulation of stochastic environmental models |
scientific article |
Statements
Variance reduction for Monte Carlo simulation of stochastic environmental models (English)
0 references
10 March 2003
0 references
The authors consider stochastic differential equations which arise in problems of environmental modelling via the interpretation of the advection-diffusion equation as a Fokker-Planck equation. By using Monte Carlo simulations they intend to determine the probability of the event that some biochemical substances reach a critical region or exceed a critical value. Mathematically this requires the evaluation of the expectation of some function of the solution of the stochastic differential equation. They discuss the numerical efficiency of Monte-Carlo simulations and propose a variance reduction technique to enhance the efficiency. The variance reduction is obtained by the Girsanov transformation to modify the stochastic model by a correction term that is obtained from an approximate solution of the partial differential equation given by the backward Kolmogorov problem and computed by a classical numerical method. They provide numerical examples of the approach showing the enhanced efficiency of it. Finally, the approach is applied to estimate the probability of exceedence in a model for biochemical-oxygen demand.
0 references
stochastic differential equations
0 references
environmental modelling
0 references
weak approximations
0 references
variance reduction
0 references
Monte-Carlo method
0 references
Girsanov transformation
0 references