Determining the First Probability Density Function of Linear Random Initial Value Problems by the Random Variable Transformation (RVT) Technique: A Comprehensive Study

Figure 14

Plots of 𝑓₁(𝑧,𝑡) given by (159) in Example 24 at different values of 𝑡 with 𝑡₀=0 in the case that (𝑍₀,𝐵,𝐴) is a three-dimensional Gaussian vector with mean and variance-covariance matrix given by (161).

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