Conditional Monte Carlo method for dynamic systems with random properties

DOI10.1016/J.APM.2011.07.072MaRDI QIDQ437879zbMATH OpenOpenAlexFDO

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

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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