Conditional Monte Carlo method for dynamic systems with random properties

DOI10.1016/J.APM.2011.07.072zbMATH Open1243.65004OpenAlexW2007002260MaRDI QIDQ437879FDOQ437879

Authors: Mircea Grigoriu 

Publication date: 20 July 2012

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

Full work available at URL: https://doi.org/10.1016/j.apm.2011.07.072

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zbMATH Keywords

Monte Carlo simulationnon-Gaussian processesrandom vibrationsemi-Markov processesdifferential/difference equations with random coefficients

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) Markov renewal processes, semi-Markov processes (60K15) Random vibrations in mechanics of particles and systems (70L05)

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Cited In (2)

• Durbin's random substitution and conditional Monte Carlo
• Monte-Carlo estimation of time-dependent statistical characteristics of random dynamical systems

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