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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

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1569-3961
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Volume 10, Issue 3-4 (Dec 2004)

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

T. A. Averina
  • Institute of Computational Mathematics and Mathematical Geophysics, Prosp. Acad. Lavrentiva 6, Novosibirsk, 630090, Russia. E-mail:
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Published Online: 2008-05-09 | DOI: 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.

About the article

Published Online: 2008-05-09

Published in Print: 2004-12-01


Citation Information: Monte Carlo Methods and Applications mcma, ISSN (Online) 1569-3961, ISSN (Print) 0929-9629, DOI: https://doi.org/10.1515/mcma.2004.10.3-4.221.

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[1]
K. A. Rybakov and I. L. Sotskova
IEEE Transactions on Automatic Control, 2007, Volume 52, Number 7, Page 1320
[2]
N. A. Averina and K. A. Rybakov
Numerical Analysis and Applications, 2008, Volume 1, Number 1, Page 1

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