Folding Domain Functions (FDF): A Random Variable Transformation technique for the non-invertible case, with applications to RDEs

Abstract

The Random Variable Transformation (RVT) method is a fundamental tool for determining the probability distribution function associated with a Random Variable (RV) Y=g(X), where X is a RV and g is a suitable transformation. In the usual applications of this method, one has to evaluate the derivative of h≡g−1. This can be a straightforward procedure when g is invertible, while difficulties may arise when g is non-invertible. The RVT method has received a great deal of attention in the recent years, because of its crucial relevance in many applications. In the present work we introduce a new approach which allows to determine the probability density function μY of the RV Y=g(X), when g is non-invertible due to its non-bijective nature. The main interest of our approach is that it can be easily implemented, from the numerical point of view, but mostly because of its low computational cost, which makes it very competitive. As a proof of concept, we apply our method to some numerical examples related to random differential equations, as well as discrete mappings, all of them of interest in the domain of applied Physics.