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Stochastic Diferential Equations and MarkovProcesses in the Modeling of Electrical Circuits
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نویسنده
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Rezaeyan R. ,Farnoosh R.
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منبع
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journal of mathematical extension - 2010 - دوره : 4 - شماره : 2 - صفحه:15 -26
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چکیده
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Stochastic diferential equations(sdes), arise from physicalsystems that possess inherent noise and certainty. we derive a sde forelectrical circuits. in this paper, we will explore the close relationshipbetween the sde and autoregressive(ar) model. we will solve sderelated to rc circuit with using of ar(1) model (markov process) andhowever with euler-maruyama(em) method. then, we will comparethis solutions. numerical simulations in matlab are obtained.
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کلیدواژه
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Stochastic di®erential equation ,Markovprocess ,white noise ,Euler-Maruyama method ,electrical circuit ,autoregressive ,simulation.
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آدرس
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Islamic Azad University ,Nour Branch, Department of Mathematics, ایران, University of Science and Technology, Department of Applied Mathematics, ایران
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پست الکترونیکی
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rfarnoosh@iust.ac.ir
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Authors
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