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Extreme Analysis of a Random Ordinary Differential Equation
Published online by Cambridge University Press: 30 January 2018
Abstract
In this paper we consider a one dimensional stochastic system described by an elliptic equation. A spatially varying random coefficient is introduced to account for uncertainty or imprecise measurements. We model the logarithm of this coefficient by a Gaussian process and provide asymptotic approximations of the tail probabilities of the derivative of the solution.
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- © Applied Probability Trust
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