On the approximation of the probability density function of the randomized heat equation

Abstract

In this paper we study the randomized heat equation with homogeneous boundary conditions. The diffusion coeffcient is assumed to be a random variable and the initial condition is treated as a stochastic process. The solution of this randomized partial differential equation problem is a stochastic process, which is given by a random series obtained via the classical method of separation of variables. Any stochastic process is determined by its finite-dimensional joint distributions. In this paper, the goal is to obtain approximations to the probability density function of the solution (the first finite-dimensional distributions) under mild conditions. Since the solution is expressed as a random series, we perform approximations of its probability density function. We use two approaches: broadly speaking, first, dealing with the random Fourier coefficients of the random series, and second, taking advantage of the Karhunen-Loeve expansion of the initial condition stochastic process. Finally, several numerical examples illustrating the potentiality of our findings with regard to both approaches are presented.