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

DOI10.1016/j.cam.2018.01.015zbMath1434.60136MaRDI QIDQ1747307

M. D. Roselló, A. Navarro-Quiles, José Vicente Romero, Juan-Carlos Cortés

Publication date: 4 May 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10251/121419

zbMATH Keywords

Karhunen-Loève expansion; first probability density function; random variable transformation technique; random first-order non-autonomous linear differential equation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

62E10: Characterization and structure theory of statistical distributions

60H25: Random operators and equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)