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

• M.-C. Casabán ^[1] ; J.-C. Cortés ^[1] ; A. Navarro-Quiles ^[1] ; J.-V. Romero ^[1] ; M.-D. Roselló ^[1] ; R.-J. Villanueva ^[1]
  1. [1] Universidad Politécnica de Valencia

     Universidad Politécnica de Valencia

     Valencia, España

     
• Localización: Journal of computational and applied mathematics, ISSN 0377-0427, Vol. 291, Nº 1 (1 January 2016), 2016, págs. 20-35
• Idioma: inglés
• DOI: 10.1016/j.cam.2014.11.028
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  • 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.