Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics
type: Item
instance of: scholarly article
title: Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics
zbMATH Open document ID: 1378.65033
author: Oindrila Kanjilal
author: C. S. Manohar
published in: Journal of Computational Physics
publication date: 2017-12-15T00:00:00Z
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 6819085
zbMATH Keywords: importance sampling
zbMATH Keywords: variance reduction
zbMATH Keywords: Girsanov transformation
zbMATH Keywords: time variant reliability
describes a project that uses: bvp4c
MaRDI profile type: Publication
full work available at URL: j.jcp.2017.03.047
OpenAlex ID: W2604505954
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DOI: 10.1016/J.JCP.2017.03.047
description: scientific article; zbMATH DE number 6819085