Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics (Q1686588): Difference between revisions

Latest revision as of 03:34, 11 December 2024

scientific article

Language	Label	Description	Also known as
English	Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics	scientific article

Statements

instance of

scholarly article

0 references

title

Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics (English)

0 references

0 references

0 references

Journal of Computational Physics

0 references

publication date

15 December 2017

0 references

zbMATH Keywords

importance sampling

0 references

variance reduction

0 references

Girsanov transformation

0 references

time variant reliability

0 references

describes a project that uses

bvp4c

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1016/j.jcp.2017.03.047

0 references

cites work

Handbook of Monte Carlo Methods

0 references

Q3311717

0 references

Higher-order implicit strong numerical schemes for stochastic differential equations

0 references

Q4319807

0 references

Variance reduction through robust design of boundary conditions for stochastic hyperbolic systems of equations

0 references

A model and variance reduction method for computing statistical outputs of stochastic elliptic partial differential equations

0 references

Variance reduction for Monte Carlo solutions of the Boltzmann equation

0 references

Importance sampling variance reduction for the Fokker-Planck rarefied gas particle method

0 references

Variational variance reduction for particle transport eigenvalue calculations using Monte Carlo adjoint simulation.

0 references

Q3714495

0 references

Reliability estimation for dynamical systems subject to stochastic excitation using subset simulation with splitting

0 references

Numerical solution of spectral stochastic finite element systems

0 references

On advanced Monte Carlo simulation procedures in stochastic structural dynamics

0 references

Importance sampling for randomly excited dynamical systems

0 references

Stochastic differential equations. An introduction with applications.

0 references

Q2778405

0 references

Variance reduction for Monte Carlo simulation of stochastic environmental models

0 references

Estimation of failure probabilities of linear dynamic systems by importance sampling

0 references

An importance sampling procedure for estimating failure probabilities of non-linear dynamic systems subjected to random noise

0 references

Variance Reduction for Simulated Diffusions

0 references

Q4049680

0 references

Quasilinearization and invariant imbedding. With applications to chemical engineering and adaptive control

0 references

Solving ODEs with MATLAB

0 references

Q3967411

0 references

Q3843227

0 references

On approximation of stable linear dynamical systems using Laguerre and Kautz functions

0 references

Identifiers

zbMATH Open document ID

1378.65033

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

10.1016/J.JCP.2017.03.047

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:1686588

@@ Property / DOI @@
-.1016/j.jcp.2017.03.047
@@ Property / DOI: 10.1016/j.jcp.2017.03.047 / rank @@
-Normal rank
@@ Property / DOI @@
+.1016/J.JCP.2017.03.047
@@ Property / DOI: 10.1016/J.JCP.2017.03.047 / rank @@
+Normal rank