Second order linear differential equations with analytic uncertainties: stochastic analysis via the computation of the probability density function

DOI10.1016/j.cam.2020.112770zbMath1462.60076arXiv1909.05907MaRDI QIDQ2306405

Olivier P. Le Maître, Juan-Carlos Cortés, J. Calatayud, M. Jornet

Publication date: 23 March 2020

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

Full work available at URL: https://arxiv.org/abs/1909.05907

zbMATH Keywords

Monte Carlo simulation; probability density function; uncertainty quantification; mean square analytic solution; random nonautonomous differential equation

Mathematics Subject Classification ID

65C05: Monte Carlo methods

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

34F05: Ordinary differential equations and systems with randomness

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

Uses Software

• Mathematica