Random Assignment Versus Fixed Assignment in Multilevel Importance Splitting for Estimating Stochastic Reach Probabilities

This paper focuses on estimating reach probability of a closed unsafe set by a stochastic process. A well-developed approach is to make use of multi-level MC simulation, which consists of encapsulating the unsafe set by a sequence of increasing closed sets and conducting a sequence of MC simulations to estimate the reach probability of each...

Service life prediction of concrete structures under chloride environment based on Monte Carlo method

Transport of chlorides is one of the most critical factors determining the service life of concrete structures under ocean environments, and diffusion is usually regarded as the major mechanism for the transport of chloride ions into concrete. As chloride diffusivity is affected by temperature, most existing service life prediction models use...

Simulation of elliptic and hypo-elliptic conditional diffusions

Suppose X is a multidimensional diffusion process. Assume that at time zero the state of X is fully observed, but at time 0$ ]]> only linear combinations of its components are observed. That is, one only observes the vector for a given matrix L. In this paper we show how samples from the conditioned process can be generated. The main...