A Mean Square Chain Rule and its Application in Solving the Random Chebyshev Differential Equation

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• 作者：J.-C. Cortés ; L. Villafuerte ; C. Burgos
• 关键词：Mean square chain rule ; random Chebyshev differential equation ; Mean square and mean fourth calculus ; Monte Carlo simulations
• 刊名：Mediterranean Journal of Mathematics
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：14
• 期：1
• 全文大小：
• 刊物类别：Mathematics and Statistics
• 刊物主题：Mathematics, general;
• 出版者：Springer International Publishing
• ISSN：1660-5454
• 卷排序：14

文摘

In this paper a new version of the chain rule for calculating the mean square derivative of a second-order stochastic process is proven. This random operational calculus rule is applied to construct a rigorous mean square solution of the random Chebyshev differential equation (r.C.d.e.) assuming mild moment hypotheses on the random variables that appear as coefficients and initial conditions of the corresponding initial value problem. Such solution is represented through a mean square random power series. Moreover, reliable approximations for the mean and standard deviation functions to the solution stochastic process of the r.C.d.e. are given. Several examples, that illustrate the theoretical results, are included.