Estimation of failure probabilities of linear dynamic systems by importance sampling

DOI10.1007/BF02716785zbMath1193.62177MaRDI QIDQ949162

Anna Ivanova Olsen, Arvid Naess

Publication date: 20 October 2008

Published in: Sādhanā (Search for Journal in Brave)

zbMATH Keywords

time-variant reliability

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Estimation in survival analysis and censored data (62N02) Reliability and life testing (62N05) Markov processes (60J99)

Related Items (1)

Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics

Cites Work

• Importance sampling for randomly excited dynamical systems
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Variance Reduction for Simulated Diffusions
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