Density function of random differential equations via finite difference schemes: a theoretical analysis of a random diffusion-reaction Poisson-type problem

DOI10.1080/17442508.2019.1645849MaRDI QIDQ5086499zbMATHOpenAlexWikidataFDO

Authors

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10251/161848

zbMATH Keywords

probability density functionnumerical methodsfinite difference schemerandom diffusion-reaction Poisson-type problem

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Sample path properties (60G17) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Random operators and equations (aspects of stochastic analysis) (60H25)

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Cites work

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• Asymptotic Statistics
• On the logistic equation subject to uncertainties in the environmental carrying capacity and initial population density
• Partial differential equations
• Probability with Martingales
• Random differential equations in science and engineering
• Random differential operational calculus: theory and applications
• Random ordinary differential equations
• Solution of the stochastic radiative transfer equation with Rayleigh scattering using RVT technique
• Stability of one-step and linear multistep methods - a matrix technique approach
• The approximate solutions of some stochastic differential equations using transformations

Cited in

(6)

• Generalized probability density function of the solution to the random Burgers-Riemann problem
• The Random Steady State Diffusion Problem. I: Random Generalized Solutions to Laplace’s Equation
• The damped pendulum random differential equation: a comprehensive stochastic analysis via the computation of the probability density function
• Approximation of probability density functions for PDEs with random parameters using truncated series expansions
• Computing the two first probability density functions of the random Cauchy-Euler differential equation: Study about regular-singular points
• Constructing reliable approximations of the probability density function to the random heat PDE via a finite difference scheme

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