Efficient bounds for the Monte Carlo-Neumann solution of stochastic systems

DOI10.1016/j.amc.2014.09.126zbMath1338.60170OpenAlexW2045202410MaRDI QIDQ298530

André Teófilo Beck, Cláudio R. Ávila da S.

Publication date: 20 June 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.09.126

zbMATH Keywords

stochastic processesMonte Carlo simulationNeumann seriesstochastic systemsuncertainty propagation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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