Open Access
2013 Dealing with Dependent Uncertainty in Modelling: A Comparative Study Case through the Airy Equation
J.-C. Cortés, J.-V. Romero, M.-D. Roselló, R.-J. Villanueva
Abstr. Appl. Anal. 2013(SI10): 1-12 (2013). DOI: 10.1155/2013/279642

Abstract

The consideration of uncertainty in differential equations leads to the emergent area of random differential equations. Under this approach, inputs become random variables and/or stochastic processes. Often one assumes that inputs are independent, a hypothesis that simplifies the mathematical treatment although it could not be met in applications. In this paper, we analyse, through the Airy equation, the influence of statistical dependence of inputs on the output, computing its expectation and standard deviation by Fröbenius and Polynomial Chaos methods. The results are compared with Monte Carlo sampling. The analysis is conducted by the Airy equation since, as in the deterministic scenario its solutions are highly oscillatory, it is expected that differences will be better highlighted. To illustrate our study, and motivated by the ubiquity of Gaussian random variables in numerous practical problems, we assume that inputs follow a multivariate Gaussian distribution throughout the paper. The application of Fröbenius method to solve Airy equation is based on an extension of the method to the case where inputs are dependent. The numerical results show that the existence of statistical dependence among the inputs and its magnitude entails changes on the variability of the output.

Citation

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J.-C. Cortés. J.-V. Romero. M.-D. Roselló. R.-J. Villanueva. "Dealing with Dependent Uncertainty in Modelling: A Comparative Study Case through the Airy Equation." Abstr. Appl. Anal. 2013 (SI10) 1 - 12, 2013. https://doi.org/10.1155/2013/279642

Information

Published: 2013
First available in Project Euclid: 26 February 2014

zbMATH: 1291.65018
MathSciNet: MR3121513
Digital Object Identifier: 10.1155/2013/279642

Rights: Copyright © 2013 Hindawi

Vol.2013 • No. SI10 • 2013
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