Variance reduction for Monte Carlo simulation of stochastic environmental models

DOI10.1016/S0307-904X(01)00091-9MaRDI QIDQ1861685zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Variance Reduction for Simulated Diffusions
• A variance reduction method based on sensitivity derivatives
• Variance reduction for Monte Carlo simulation in a stochastic volatility environment
• scientific article; zbMATH DE number 1069619
• Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples

Cites work

• scientific article; zbMATH DE number 3936413 (Why is no real title available?)
• scientific article; zbMATH DE number 43732 (Why is no real title available?)
• 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

Cited in

(11)

• Variance-reduced weak Monte Carlo simulations of stochastically driven oscillators of engineering interest
• Importance sampling for backward SDEs
• scientific article; zbMATH DE number 6870542 (Why is no real title available?)
• 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

This page was built for publication: Variance reduction for Monte Carlo simulation of stochastic environmental models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1861685)