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Licensed Unlicensed Requires Authentication Published by De Gruyter May 9, 2008

Algorithm of statistical simulation of dynamic systems with distributed change of structure*

  • T. A. Averina
From the journal Monte Carlo Methods and Applications
https://doi.org/10.1515/mcma.2004.10.3-4.221

The paper considers dynamic systems with a distributed change of structure, where the structure number process in Markov process or a conditional Markov process. A statistical algorithm was constructed for probabilistic analysis of such systems. It is based on numerical methods for solution of the Stochastic Differential Equations (SDEs) and on the “maximum cross-section method”. Some results of numerical experiments are given.

Published Online: 2008-05-09
Published in Print: 2004-12

© de Gruyter 2004

From the journal
Monte Carlo Methods and Applications
Monte Carlo Methods and Applications
Volume 10 Issue 3-4
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