Variance reduction for Monte Carlo simulation of stochastic environmental models

Applied Mathematical Modelling

Volumn 26, Issue 8, 2002, Pages 785-795

  Schoenmakers, J G M ^a   Heemink, A W ^b   Ponnambalam, K ^c   Kloeden, P E ^d  

^a WEIERSTRASS INSTITUTE FOR APPLIED ANALYSIS AND STOCHASTICS   (Germany)

^b DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

^c UNIVERSITY OF WATERLOO   (Canada)

^d GOETHE UNIVERSITY   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

BIOCHEMICAL OXYGEN DEMAND; DIFFERENTIAL EQUATIONS; NUMERICAL METHODS;

STOCHASTIC MODELS;

MONTE CARLO METHODS;

ENVIRONMENTAL MODELING; MONTE CARLO ANALYSIS; STATISTICAL ANALYSIS; STOCHASTICITY;

EID: 0036687103     PISSN: 0307904X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0307-904X(01)00091-9     Document Type: Article

References (8)

1. Stochastic modelling of dispersion in shallow water
2. Estimation of risk in environmental systems
3. A survey of numerical methods for stochastic differential equations
4. Fast valuation of financial derivatives