Improving the approximation of the first- and second-order statistics of the response stochastic process to the random Legendre differential equation

DOI10.1007/S00009-019-1338-6MaRDI QIDQ2424070zbMATH OpenOpenAlexWikidataFDO

Authors J. Calatayud, M. Jornet, Juan Cortés

Publication date 24 June 2019

Published in Mediterranean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1807.03141, http://hdl.handle.net/10251/140202

zbMATH Keywords

mean square calculusrandom Legendre differential equationrandom power seriesuncertainty quantification

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05)

Abstract: In this paper, we deal with uncertainty quantification for the random Legendre differential equation, with input coefficient $A$ and initial conditions $X_0$ and $X_1$. In a previous study [Calbo G. et al, Comput. Math. Appl., 61(9), 2782--2792 (2011)], a mean square convergent power series solution on $(-1/e,1/e)$ was constructed, under the assumptions of mean fourth integrability of $X_0$ and $X_1$, independence, and at most exponential growth of the absolute moments of $A$. In this paper, we relax these conditions to construct an $mathrm{L}^p$ solution ($1leqpleqinfty$) to the random Legendre differential equation on the whole domain $(-1,1)$, as in its deterministic counterpart. Our hypotheses assume no independence and less integrability of $X_0$ and $X_1$. Moreover, the growth condition on the moments of $A$ is characterized by the boundedness of $A$, which simplifies the proofs significantly. We also provide approximations of the expectation and variance of the response process. The numerical experiments show the wide applicability of our findings. A comparison with Monte Carlo simulations and gPC expansions is performed.

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Cited in

(12)

• Uncertainty quantification for the random viscous Burgers' partial differential equation by using the differential transform method
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• Constructing reliable approximations of the probability density function to the random heat PDE via a finite difference scheme
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• Extending the fractional Legendre differential equation to the random setting: computation of the solution, statistical moments and density
• Fröbenius expansions for second-order random differential equations: stochastic analysis and applications to Lindley-type damping models

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