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Uncertainty quantification for random parabolic equations with nonhomogeneous boundary conditions on a bounded domain via the approximation of the probability density function. (English) Zbl 1432.60062

Summary: This paper deals with the randomized heat equation defined on a general bounded interval \([L_1, L_2]\) and with nonhomogeneous boundary conditions. The solution is a stochastic process that can be related, via changes of variable, with the solution stochastic process of the random heat equation defined on [0,1] with homogeneous boundary conditions. Results in the extant literature establish conditions under which the probability density function of the solution process to the random heat equation on \([0,1]\) with homogeneous boundary conditions can be approximated. Via the changes of variable and the Random Variable Transformation technique, we set mild conditions under which the probability density function of the solution process to the random heat equation on a general bounded interval \([L_1, L_2]\) and with nonhomogeneous boundary conditions can be approximated uniformly or pointwise. Furthermore, we provide sufficient conditions in order that the expectation and the variance of the solution stochastic process can be computed from the proposed approximations of the probability density function. Numerical examples are performed in the case that the initial condition process has a certain Karhunen-Loève expansion, being Gaussian and non-Gaussian.

MSC:

60H15 Stochastic partial differential equations (aspects of stochastic analysis)
35R60 PDEs with randomness, stochastic partial differential equations
60H35 Computational methods for stochastic equations (aspects of stochastic analysis)
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