'Path' and 'time' estimates in the Monte Carlo method

被引：2

作者：

Burmistrov, AV ^{[1
]}

Mikhailov, GA ^{[1
]}

机构：

[1] Russian Acad Sci, Inst Computat Math & Math Geophys, Siberian Branch, Novosibirsk 630090, Russia

来源：

RUSSIAN JOURNAL OF NUMERICAL ANALYSIS AND MATHEMATICAL MODELLING | 1999年 / 14卷 / 03期

关键词：

D O I：

10.1515/rnam.1999.14.3.221

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We propose new weight modifications of a 'path' estimate for the calculation of Linear functionals (Phi, h) of radiation intensity Phi. In the framework of the 'collision' model of a transport process we mathematically justify the estimate, including variance finiteness, in the case of the function h with alternating signs. We construct and justify the analogous 'time' estimate for the calculation of linear functionals of the concentration of particles moving along trajectories of multidimensional diffusion processes (the concentration of trajectories for brevity).

引用

页码：221 / 236

页数：16

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