Probabilistic solution of the homogeneous Riccati differential equation: A case-study by using linearization and transformation techniques

[EN] This paper deals with the determination of the first probability density function of the solution stochastic process to the homogeneous Riccati differential equation taking advantage of both linearization and Random Variable Transformation techniques. The study is split in all possible casuistr...

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Detalhes bibliográficos
Autores: M.-C. Casabán|||0000-0002-5708-5709, Cortés, J.-C.|||0000-0002-6528-2155, Romero, José-Vicente|||0000-0003-3366-6557, Roselló, María-Dolores|||0000-0002-5724-7683, Villanueva Micó, Rafael Jacinto|||0000-0002-0131-0532, Navarro-Quiles, A.
Formato: artículo
Fecha de publicación:2016
País:España
Recursos:Universitat Politècnica de València (UPV)
Repositorio:RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
Idioma:inglés
OAI Identifier:oai:riunet.upv.es:10251/99445
Acesso em linha:https://riunet.upv.es/handle/10251/99445
Access Level:acceso abierto
Palavra-chave:Random Riccati differential equations
Random variable transformation technique
First probability density function
MATEMATICA APLICADA
Descrição
Resumo:[EN] This paper deals with the determination of the first probability density function of the solution stochastic process to the homogeneous Riccati differential equation taking advantage of both linearization and Random Variable Transformation techniques. The study is split in all possible casuistries regarding the deterministic/random character of the involved input parameters. An illustrative example is provided for each one of the considered cases.

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