Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics.
Oindrila KanjilalC. S. ManoharPublished in: J. Comput. Phys. (2017)
Keyphrases
- monte carlo simulation
- monte carlo
- highly nonlinear
- variance reduction
- markov chain
- nonlinear dynamics
- dynamic model
- continuous stirred tank reactor
- external disturbances
- dynamical systems
- var model
- neural network
- approximation schemes
- stochastic differential equations
- simple linear
- covariance matrix
- machine learning