Conditional Monte Carlo method for dynamic systems with random properties

DOI10.1016/j.apm.2011.07.072zbMath1243.65004OpenAlexW2007002260MaRDI QIDQ437879

Mircea D. 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 simulationrandom vibrationsemi-Markov processesnon-Gaussian processesdifferential/difference equations with random coefficients

Mathematics Subject Classification ID

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

Cites Work

• Current developments in time series modelling
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Investigation of the solutions of linear systems of difference equations with random coefficients
• Differential quadrature: A technique for the rapid solution of nonlinear partial differential equations
• Derivation of Moment Equations for Solutions of a System of Nonlinear Difference Equations Dependent on a Semi-Markov Process
• Spectral theory of some matrix differential operators of mixed order
• Difference Methods for Stochastic Partial Differential Equations
• Introduction to Econophysics
• Second-order moment equations for a system of differential equations with random right-hand side
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