Random Hermite differential equations: Mean square power series solutions and statistical properties

This paper deals with the construction of random power series solution of second order linear differential equations of Hermite containing uncertainty through its coefficients and initial conditions. Under appropriate hypotheses on the data, we establish that the constructed random power series solution is mean square convergent. We provide conditions in order to obtain random polynomial solutions and, as a consequence, random Hermite polynomial are introduced. Also, the main statistical functions of the approximate stochastic process solution generated by truncation of the exact power series solution are given. Finally, we apply the proposed technique to several illustrative examples comparing the numerical results with respect to those provided by other available approaches including Monte Carlo simulation. © 2011 Elsevier Inc. All rights reserved. This work has been partially supported by the Spanish M.C.Y.T. and FEDER grants MTM2009-08587, DPI2010-20891-C02-01 as well as the Universitat Politecnica de Valencia grant PAID-06-09 (Ref. 2588). Calbo Sanjuán, G.; Cortés López, JC.; Jódar Sánchez, LA. (2011). Random Hermite differential equations: Mean square power series solutions and statistical properties. Applied Mathematics and Computation. 218(7):3654-3666. https://doi.org/10.1016/j.amc.2011.09.008