Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics
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Publication:1686588
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
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
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Cites Work
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