Probabilistic solution of random homogeneous linear second-order difference equations

Casabán Bartual Mª Consuelo, Cortés López Juan Carlos, Romero Bauset José Vicente, Roselló Ferragud María Dolores

2014

Applied Mathematics Letters

This paper deals with the computation of the first probability density function of the solution of random homogeneous linear second-order difference equations by the Random Variable Transformation method. This approach allows us to generalize the classical solution obtained in the deterministic scenario. Several illustrative examples are provided.