Publication detail

Vector Linear Stochastic Differential Equations and Their Applications to Electrical Networks

KOLÁŘOVÁ, E. BRANČÍK, L.

Original Title

Vector Linear Stochastic Differential Equations and Their Applications to Electrical Networks

Type

conference paper

Language

English

Original Abstract

The paper presents an application of the Ito stochastic calculus to the problem of modelling RLC electrical circuits. The deterministic model of the circuit is replaced by a stochastic model by adding a noise term to various parameters of the circuit. The analytic solutions of the resulting stochastic integral equations are found using the multidimensional Ito formula. For the numerical simulations in the examples we used Matlab.

Keywords

Stochastic differential equations, Wiener process, Ito formula, electrical network

Authors

KOLÁŘOVÁ, E.; BRANČÍK, L.

RIV year

2012

Released

3. 7. 2012

Publisher

VUT v Brně

Location

Prague, Czech Republic

ISBN

978-1-4673-1116-8

Book

Proceedings of 35th International Conference on Telecomunication and Signal Processing 2012

Pages from

311

Pages to

315

Pages count

5

URL

http://tsp.vutbr.cz/

BibTex

@inproceedings{BUT92834,
  author="Edita {Kolářová} and Lubomír {Brančík}",
  title="Vector Linear Stochastic Differential Equations and Their Applications to Electrical Networks",
  booktitle="Proceedings of 35th International Conference on Telecomunication and Signal Processing 2012",
  year="2012",
  pages="311--315",
  publisher="VUT v Brně",
  address="Prague, Czech Republic",
  isbn="978-1-4673-1116-8",
  url="http://tsp.vutbr.cz/"
}