Approximate solutions of randomized non-autonomous complete linear differential equations via probability density functions
Date
2019-07-16
Authors
Calatayud, Julia
Cortes, Juan Carlos
Jornet, Marc
Journal Title
Journal ISSN
Volume Title
Publisher
Texas State University, Department of Mathematics
Abstract
Solving a random differential equation means to obtain an exact or approximate expression for the solution stochastic process, and to compute its statistical properties, mainly the mean and the variance functions. However, a major challenge is the computation of the probability density function of the solution. In this article we construct reliable approximations of the probability density function to the randomized non-autonomous complete linear differential equation by assuming that the diffusion coefficient and the source term are stochastic processes and the initial condition is a random variable. The key tools to construct these approximations are the random variable transformation technique and Karhunen-Loeve expansions. The study is divided into a large number of cases with a double aim: firstly, to extend the available results in the extant literature and, secondly, to embrace as many practical situations as possible. Finally, a wide variety of numerical experiments illustrate the potentiality of our findings.
Description
Keywords
Random non-autonomous complete linear differential equation, Random variable transformation technique, Karhunen-Loeve expansion, Probability density function
Citation
Calatayud, J., Cortés, J. C., & Jornet, M. (2019). Approximate solutions of randomized non-autonomous complete linear differential equations via probability density functions. <i>Electronic Journal of Differential Equations, 2019</i>(85), pp. 1-40.
Rights
Attribution 4.0 International