Propagation of Uncertainty in Dynamical Systems
NORTH CAROLINA STATE UNIV AT RALEIGH CENTER FOR RESEARCH IN SCIENTIFIC COMPUTATION
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We compare several approaches to uncertainty propagation that have been used in the literature to formulate the uncertainty in a dynamical system governed by ordinary differential equations. Specifically we focus on the evolution of probability density functions of the associated stochastic processes, and discuss their applications in different fields.
- Statistics and Probability