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

Averina T. A.

Monte Carlo Methods and Applications, 2004, vol. 10, issue 3-4, 221-226

Abstract: 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.

Date: 2004
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DOI: 10.1515/mcma.2004.10.3-4.221

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