On the conditional Monte Carlo method for the reliability estimation of the Gaussian degradation system with a changing degradation intensity

We consider the system which degradation dynamic is described by the stochastic process defined as the sum of the centered Gaussian process and drift term with changing degradation intensity. The main goal is the reliability estimation of the considered system via Monte Carlo simulation using variance reduction techniques in order to provide the sufficient level of accuracy. The special variant of the Conditional Monte Carlo has been applied. The preliminary numerical experiments indicate the significant reduction of the relative error.