Solving second-order linear differential equations with random analytic coefficients about ordinary points: A full probabilistic solution by the first probability density function

J.-C. Cortés, A. Navarro-Quiles, J.-V. Romero and M.-D. Roselló

Applied Mathematics and Computation, 2018, vol. 331, issue C, 33-45

Abstract: This paper deals with the approximate computation of the first probability density function of the solution stochastic process to second-order linear differential equations with random analytic coefficients about ordinary points under very general hypotheses. Our approach is based on considering approximations of the solution stochastic process via truncated power series solution obtained from the random regular power series method together with the so-called Random Variable Transformation technique. The validity of the proposed method is shown through several illustrative examples.

Keywords: Random variable transformation technique; Second-order random linear differential equation; Ordinary point; First probability density function (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:331:y:2018:i:c:p:33-45

DOI: 10.1016/j.amc.2018.02.051

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