Detail publikace

Applications of second order stochastic integral equations to electrical networks

KOLÁŘOVÁ, E.

Originální název

Applications of second order stochastic integral equations to electrical networks

Typ

článek v časopise ve Scopus, Jsc

Jazyk

angličtina

Originální abstrakt

The theory of stochastic differential equations is used in various fields of science and engineering. This paper deals with vector-valued stochastic integral equations. We show some applications of the presented theory to the problem of modelling RLC electrical circuits by noisy parameters. From practical point of view, the second-order RLC circuits are of major importance, as they are the building blocks of more complex physical systems. The mathematical models of such circuits lead to the second order differential equations. We construct stochastic models of the RLC circuit by replacing a coefficient in the deterministic system with a noisy one. In this paper we present the analytic solution of these equations using the Itô calculus and compute confidence intervals for the stochastic solutions. Numerical simulations in the examples are performed using Matlab.

Klíčová slova

stochastic integral equations, Wiener process, Ito formula, stochastic simulations, RLC electrical network

Autoři

KOLÁŘOVÁ, E.

Rok RIV

2015

Vydáno

1. 9. 2015

Nakladatel

Mathematical Institute, Slovak Academy of Sciences

Místo

Bratislava

ISSN

1210-3195

Periodikum

Tatra Mountains Mathematical Publications

Číslo

63

Stát

Česká republika

Strany od

163

Strany do

173

Strany počet

11

URL

http://tatra.mat.savba.sk/

BibTex

@article{BUT117453,
  author="Edita {Kolářová}",
  title="Applications of second order stochastic integral equations to electrical networks",
  journal="Tatra Mountains Mathematical Publications",
  year="2015",
  number="63",
  pages="163--173",
  doi="10.1515/tmmp-2015-0028",
  issn="1210-3195",
  url="http://tatra.mat.savba.sk/"
}