Detail publikačního výsledku

Vector Linear Stochastic Differential Equations and Their Applications to Electrical Networks

KOLÁŘOVÁ, E.; BRANČÍK, L.

Originální název

Vector Linear Stochastic Differential Equations and Their Applications to Electrical Networks

Anglický název

Vector Linear Stochastic Differential Equations and Their Applications to Electrical Networks

Druh

Stať ve sborníku v databázi WoS či Scopus

Originální abstrakt

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.

Anglický abstrakt

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.

Klíčová slova

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

Klíčová slova v angličtině

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

Autoři

KOLÁŘOVÁ, E.; BRANČÍK, L.

Rok RIV

2013

Vydáno

03.07.2012

Nakladatel

VUT v Brně

Místo

Prague, Czech Republic

ISBN

978-1-4673-1116-8

Kniha

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

Strany od

311

Strany do

315

Strany počet

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/"
}