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

Casabán Bartual Mª Consuelo, Cortés López Juan Carlos, Navarro Quiles Ana, Romero Bauset José Vicente, Roselló Ferragud María Dolores, Villanueva Micó Rafael Jacinto

2016

Journal of Computational and Applied Mathematics

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.