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The probability density evolution method (PDEM) provides a feasible approach for the dynamic response analysis of nonlinear stochastic structures. The key step in this regard is to solve a generalized density evolution equation (GDEE) in order to establish the probability density function (PDF). Previously, a finite difference method (FDM) has often been resorted to solve the GDEE. However, one may encounter the problem of mesh sensitivity in the application of FDM to the PDEM. To this end, a novel difference-wavelet method that can improve the finite difference result by means of a nonlinear wavelet density estimation method is proposed in the present paper. By exploiting the multi-resolution property of wavelet functions and by choosing the optimal scale at each instant, it is expected that the bothering mesh sensitivity issue in finite difference method can be overcome to some extent and a better probability density result can be obtained. In order to verify the proposed method, a single-degree-of-freedom (SDOF) oscillator and an 8-story frame structure are investigated in detail. The results show the notable superiority of the proposed method to finite difference method. [ABSTRACT FROM AUTHOR]