Variance reduction for Monte Carlo simulation of stochastic environmental models

DOI10.1016/S0307-904X(01)00091-9zbMath1014.92046OpenAlexW2014221443MaRDI QIDQ1861685

Peter E. Kloeden, K. Ponnambalam, John G. M. Schoenmakers, Arnold W. Heemink

Publication date: 10 March 2003

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0307-904x(01)00091-9

zbMATH Keywords

stochastic differential equationsvariance reductionGirsanov transformationMonte-Carlo methodweak approximationsenvironmental modelling

Mathematics Subject Classification ID

Related Items (9)

Importance Sampling for Backward SDEs ⋮ Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics ⋮ Randomness in a mathematical model for the transmission of respiratory syncytial virus (RSV) ⋮ Probability density estimation in stochastic environmental models using reverse representa\-tions ⋮ Two-particle models for the estimation of the mean and standard deviation of concentrations in coastal waters ⋮ A copula-based uncertainty propagation method for structures with correlated parametric p-boxes ⋮ Identification of ground water flow patterns using particle models ⋮ Estimation of time-variant system reliability of nonlinear randomly excited systems based on the Girsanov transformation with state-dependent controls ⋮ Variance reduction for Monte Carlo simulation of stochastic environmental models

Cites Work

• A survey of numerical methods for stochastic differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Variance reduction for Monte Carlo simulation of stochastic environmental models
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