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

DOI10.1016/J.JCP.2017.03.047zbMath1378.65033OpenAlexW2604505954MaRDI QIDQ1686588

Oindrila Kanjilal, C. S. Manohar

Publication date: 15 December 2017

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2017.03.047

zbMATH Keywords

importance samplingvariance reductionGirsanov transformationtime variant reliability

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Probabilistic response of nonsmooth nonlinear systems under Gaussian white noise excitations ⋮ Estimation of time-variant system reliability of nonlinear randomly excited systems based on the Girsanov transformation with state-dependent controls

Uses Software

• bvp4c

Cites Work

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