Statistical Analysis of Linear Random Differential Equation
نویسنده
چکیده
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 transformation 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
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