Full probabilistic analysis of random first‐order linear differential equations with Dirac delta impulses appearing in control

Abstract

We study, from a probabilistic standpoint, first‐order impulsive linear differential equations, where all its parameters (initial condition and coefficients) are absolutely continuous random variables with a joint probability density function. We assume an infinite train of Dirac delta impulse applications at given time instants to control the model output. We take extensive advantage of the random variable transformation method to determine, first, an explicit expression for the probability density of the solution stochastic process, and secondly, of the random sequences for the maxima and minima. From these sequences, we determine the probability of stability of the solution stochastic process. This analysis is extended in the case that the application times are evenly spaced, via a period T, which is assumed to be a random variable. All the theoretical results are illustrated by means of several numerical examples, where we also perform a sensitivity analysis, via Sobol indexes, to highlight those model parameters that most explain the variability of the model response.