Monte-Carlo estimation of time-dependent statistical characteristics of random dynamical systems

DOI10.1016/J.APM.2010.12.024zbMath1219.93119OpenAlexW2027815684MaRDI QIDQ636548

Shalabh Bhatnagar, Karmeshu

Publication date: 28 August 2011

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

Full work available at URL: https://doi.org/10.1016/j.apm.2010.12.024

zbMATH Keywords

stochastic differential equationsrandom dynamical systemsrandom differential equationscontinuous time Markov chainsstochastic approximation algorithmsMonte-Carlo estimates

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Monte Carlo methods (65C05) Estimation and detection in stochastic control theory (93E10) Random operators and equations (aspects of stochastic analysis) (60H25) Continuous-time Markov processes on discrete state spaces (60J27)

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