A solution of linear stochastic differential equation

Seifedine Kadry

A solution of linear stochastic differential equation

Seifedine Kadry

Université Clermont Auvergne

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	628-631
Number of pages	4
Journal	WSEAS Transactions on Mathematics
Volume	6
Issue number	4
State	Published - Apr 2007
Externally published	Yes

Keywords

Numerical methods
Random differential equation
Random variable
Transformation method

Cite this

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title = "A solution of linear stochastic differential equation",

abstract = "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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AB - 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.

KW - Numerical methods

KW - Random differential equation

KW - Random variable

KW - Transformation method

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A solution of linear stochastic differential equation

Abstract

Keywords

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