Computing the probability density function of non-autonomous first-order linear homogeneous differential equations with uncertainty

被引：7

作者：

Cortes, J. -C. ^{[1
]}

Navarro-Quiles, A. ^{[1
]}

Romero, J. -V. ^{[1
]}

Rosello, M. -D. ^{[1
]}

机构：

[1] Univ Politecn Valencia, Inst Univ Matemat Multidisciplinar, Camino Vera S-N, E-46022 Valencia, Spain

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2018年 / 337卷

关键词：

Karhunen-Loeve expansion; Random Variable Transformation technique; First probability density function; Random first-order non-autonomous linear differential equation;

D O I：

10.1016/j.cam.2018.01.015

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper is devoted to construct approximations of the probability density function of the non-autonomous first-order homogeneous linear random differential equation, where the initial condition and the diffusion coefficient are assumed to be a random variable and a stochastic process, respectively. We combine Random Variable Transformation technique and Karhunen-Loeve expansion to construct reliable approximations under general conditions. Several numerical examples illustrate our theoretical findings. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：190 / 208

页数：19

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