Variance reduction for Monte Carlo simulation of stochastic environmental models

DOI10.1016/S0307-904X(01)00091-9zbMATH Open1014.92046OpenAlexW2014221443MaRDI QIDQ1861685FDOQ1861685

Authors: K. Ponnambalam, Peter E. Kloeden, John Schoenmakers, A. 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

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zbMATH Keywords

variance reductionMonte-Carlo methodstochastic differential equationsGirsanov transformationweak approximationsenvironmental modelling

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Ecology (92D40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Higher-order implicit strong numerical schemes for stochastic differential equations
• Title not available (Why is that?)
• A survey of numerical methods for stochastic differential equations
• Title not available (Why is that?)
• Variance reduction for Monte Carlo simulation of stochastic environmental models

Cited In (11)

• Variance-reduced weak Monte Carlo simulations of stochastically driven oscillators of engineering interest
• Importance sampling for backward SDEs
• Title not available (Why is that?)
• 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
• Identification of ground water flow patterns using particle models
• Randomness in a mathematical model for the transmission of respiratory syncytial virus (RSV)
• A copula-based uncertainty propagation method for structures with correlated parametric p-boxes
• Estimation of time-variant system reliability of nonlinear randomly excited systems based on the Girsanov transformation with state-dependent controls
• Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics
• Variance reduction for Monte Carlo simulation of stochastic environmental models

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