Some recommendations for applying gPC (generalized polynomial chaos) to modeling: An analysis through the Airy random differential equation

In this paper we study the use of the generalized polynomial chaos method to differential equations describing a model that depends on more than one random input. This random input can be in the form of parameters or of initial or boundary conditions. We investigate the effect of the choice of the probability density functions for the inputs on the output stochastic processes. The study is performed on the Airy's differential equation. This equation is a good test case since its solutions are highly oscillatory and errors can develop both in the amplitude and the phase. Several different situations are considered and, finally, conclusions are presented.