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

DOI10.1016/j.cam.2018.01.015zbMath1434.60136OpenAlexW2791346203MaRDI QIDQ1747307

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

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 expansionfirst probability density functionrandom variable transformation techniquerandom first-order non-autonomous linear differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Characterization and structure theory of statistical distributions (62E10) Random operators and equations (aspects of stochastic analysis) (60H25) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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