Solving Ordinary Linear Differential Equations with Random Initial Conditions

Introduction Ordinary linear differential equations can be solved as trajectories given some initial conditions. But what if your initial conditions are given as distributions of probability? It turns out that the problem is relatively simple to solve. Transformation of Random Variables If we have a random system described as $latex dot{X}(t) = f(X(t),t) qquad X(t_0) … Continue reading Solving Ordinary Linear Differential Equations with Random Initial Conditions