Monte Carlo Methods and Applications
Managing Editor: Sabelfeld, Karl K.
Editorial Board: Binder, Kurt / Bouleau, Nicolas / Chorin, Alexandre J. / Dimov, Ivan / Dubus, Alain / Egorov, Alexander D. / Ermakov, Sergei M. / Halton, John H. / Heinrich, Stefan / Kalos, Malvin H. / Lepingle, D. / Makarov, Roman / Mascagni, Michael / Mathe, Peter / Niederreiter, Harald / Platen, Eckhard / Sawford, Brian R. / Schmid, Wolfgang Ch. / Schoenmakers, John / Simonov, Nikolai A. / Sobol, Ilya M. / Spanier, Jerry / Talay, Denis
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CiteScore 2016: 0.70
SCImago Journal Rank (SJR) 2016: 0.647
Source Normalized Impact per Paper (SNIP) 2016: 0.908
Mathematical Citation Quotient (MCQ) 2016: 0.33
Algorithm of statistical simulation of dynamic systems with distributed change of structure*
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.
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