Statistical Analysis of Linear Random Differential Equation

In this paper, a new method is proposed in order to evaluate the stochastic solution of linear random differential equation. The method is based on the combination of the probabilistic method for a single random variable and the numerical methods (e.g. finite difference, finite element, Runge-Kutta, etc...). The transformation technique evaluates the probability density function (PDF) of the solution by multiplying the PDF of the random variable by the Jacobean of the inverse function. Key words: Transformation method, numerical methods, random variable, random differential equation.

• Type: Conference
• Year: 2006
• Where: CSC
• Authors: Seifedine Kadry
• Keywords: CSC 2006, CSC 2007, Numerical Methods, Probability Density Function, Random Variable