Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics (Q1686588)
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scientific article; zbMATH DE number 6819085
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| English | Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics |
scientific article; zbMATH DE number 6819085 |
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Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics (English)
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15 December 2017
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importance sampling
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variance reduction
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Girsanov transformation
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time variant reliability
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0.8289842009544373
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0.7882651090621948
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0.7829301357269287
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0.7712875604629517
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