Constructing reliable approximations of the random fractional Hermite equation: solution, moments and density

Abstract

We extend the study of the random Hermite second-order ordinary differential equation to the fractional setting. We first construct a random generalized power series that solves the equation in the mean square sense under mild hypotheses on the random inputs (coefficients and initial conditions). From this representation of the solution, which is a parametric stochastic process, reliable approximations of the mean and the variance are explicitly given. Then, we take advantage of the random variable transformation technique to go further and construct convergent approximations of the first probability density function of the solution. Finally, several numerically simulations are carried out to illustrate the broad applicability of our theoretical findings.