scientific article; zbMATH DE number 5010659

MaRDI QIDQ3374282zbMATH OpenFDO

Authors Anna Ivanova Olsen, A. Naess

Publication date 9 March 2006

Mathematics Subject Classification ID

Reliability and life testing (62N05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of optimal control and differential games (49N90)

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Cited in

(6)

• Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics
• Importance sampling for randomly excited dynamical systems
• Learning-based importance sampling via stochastic optimal control for stochastic reaction networks
• Model reduction algorithms for optimal control and importance sampling of diffusions
• Estimation of failure probabilities of linear dynamic systems by importance sampling
• An importance sampling procedure for estimating failure probabilities of non-linear dynamic systems subjected to random noise

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