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JOURNALS // Sibirskii Zhurnal Vychislitel'noi Matematiki // Archive

Sib. Zh. Vychisl. Mat., 2013 Volume 16, Number 2, Pages 97–105 (Mi sjvm502)

A modified algorithm for statistical simulation of multistructural systems with distributed change of structure

T. A. Averinaab

a Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences, Novosibirsk
b Novosibirsk State University, Novosibirsk

Abstract: An algorithm for statistical simulation of random-structure systems with distributed transitions has been constructed. The proposed algorithm is based on numerical methods for solving stochastic differential equations, and uses a modified maximum cross-section method when the transition intensity depends on the vector of state.

Key words: numerical methods, stochastic differential equations, systems with random structure.

UDC: 519.245

Received: 26.12.2011
Revised: 27.01.2012


 English version:
Numerical Analysis and Applications, 2013, 6:2, 91–97

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