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

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

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dc.contributor.author Calatayud, J. es_ES
dc.contributor.author Cortés, J.-C. es_ES
dc.contributor.author Díaz, J.A. es_ES
dc.contributor.author Jornet, M. es_ES
dc.date.accessioned 2021-02-19T04:33:42Z
dc.date.available 2021-02-19T04:33:42Z
dc.date.issued 2020-05-18 es_ES
dc.identifier.uri http://hdl.handle.net/10251/161848
dc.description.abstract [EN] A computational approach to approximate the probability density function of random differential equations is based on transformation of random variables and finite difference schemes. The theoretical analysis of this computational method has not been performed in the extant literature. In this paper, we deal with a particular random differential equation: a random diffusion-reaction Poisson-type problem of the form , , with boundary conditions , . Here, alpha, A and B are random variables and is a stochastic process. The term is a stochastic process that solves the random problem in the sample path sense. Via a finite difference scheme, we approximate with a sequence of stochastic processes in both the almost sure and senses. This allows us to find mild conditions under which the probability density function of can be approximated. Illustrative examples are included. es_ES
dc.description.sponsorship This work has been supported by the Spanish Ministerio de Economia y Competitividad grant MTM2017-89664-P. Marc Jornet acknowledges the doctorate scholarship granted by Programa de Ayudas de Investigacion y Desarrollo (PAID), Universitat Politecnica de Valencia. es_ES
dc.language Inglés es_ES
dc.publisher Taylor & Francis es_ES
dc.relation.ispartof Stochastics: An International Journal of Probability and Stochastic Processes (Online) es_ES
dc.rights Reserva de todos los derechos es_ES
dc.subject Random diffusion-reaction Poisson-type problem es_ES
dc.subject Finite difference scheme es_ES
dc.subject Probability density function es_ES
dc.subject Numerical methods es_ES
dc.subject.classification MATEMATICA APLICADA es_ES
dc.title Density function of random differential equations via finite difference schemes: a theoretical analysis of a random diffusion-reaction Poisson-type problem es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1080/17442508.2019.1645849 es_ES
dc.relation.projectID info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016/MTM2017-89664-P/ES/PROBLEMAS DINAMICOS CON INCERTIDUMBRE SIMULABLE: MODELIZACION MATEMATICA, ANALISIS, COMPUTACION Y APLICACIONES/ es_ES
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada es_ES
dc.description.bibliographicCitation Calatayud, J.; Cortés, J.; Díaz, J.; Jornet, M. (2020). Density function of random differential equations via finite difference schemes: a theoretical analysis of a random diffusion-reaction Poisson-type problem. Stochastics: An International Journal of Probability and Stochastic Processes (Online). 92(4):627-641. https://doi.org/10.1080/17442508.2019.1645849 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion https://doi.org/10.1080/17442508.2019.1645849 es_ES
dc.description.upvformatpinicio 627 es_ES
dc.description.upvformatpfin 641 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 92 es_ES
dc.description.issue 4 es_ES
dc.identifier.eissn 1744-2516 es_ES
dc.relation.pasarela S\391565 es_ES
dc.contributor.funder Agencia Estatal de Investigación es_ES
dc.contributor.funder Universitat Politècnica de València es_ES
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