The Polynomial Chaos Method With Applications To Random Differential Equations

Abstract

The role of randomness in mathematical models is of paramount importance, with emphasis placed upon the accuracy and reliability of predictions a rational approach is the use of differential equations with random parameters to describe natural phenomena. Well known methods such as Monte Carlo methods and the method of moments have been implemented to approximate the solutions to random differential equations in the last few decades. In this work, analytic solutions to a particular Riccati type dierential equation and discrete delay dierential equation with random coefficients are derived, also, due to its spectral rate of convergence and simplicity, the polynomial chaos expansion method is considered to approximate the moments of the solutions. The performance of the method is exhibited and potential future applications are discussed.