Probabilistic analysis of a general class of nonlinear random differential equations with state-dependent impulsive terms via probability density functions

Abstract

In this contribution, we rigorously construct a pathwise solution to a general scalar random differential equation with state-dependent Dirac-delta impulse terms at a finite number of time instants. Furthermore, we obtain the first probability density function of the solution by combining two main results, firstly, the Liouville–Gibbs equation between the impulse instants, and secondly, the Random Variable Transformation technique at the impulse times. Finally, all theoretical findings are illustrated on two stochastic models, widely used in mathematical modeling, carrying on computational simulations.