STOCHASTIC DIFFERENTIAL EQUATIONS AND MARKOV PROCESSES IN THE MODELING OF ELECTRICAL CIRCUITS

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REZAEYAN RAMZAN; FARNOOSH RAHMAN

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Paper Information

Journal: JOURNAL OF MATHEMATICAL EXTENSION Year:2010 | Volume:4 | Issue:2 (S.N. 8) Page(s): 15-26

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Title

STOCHASTIC DIFFERENTIAL EQUATIONS AND MARKOV PROCESSES IN THE MODELING OF ELECTRICAL CIRCUITS

Author(s)

REZAEYAN RAMZAN | FARNOOSH RAHMAN | Issue Writer Certificate

Keywords

STOCHASTIC DIFFERENTIAL EQUATION

MARKOV PROCESS

WHITE NOISE

EULER-MARUYAMA METHOD

ELECTRICAL CIRCUIT

AU- TOREGRESSIVE

SIMULATION

Abstract

STOCHASTIC DIFFERENTIAL EQUATIONs (SDEs), arise from physical systems that possess inherent noise and certainty. We derive a SDE for ELECTRICAL CIRCUITs. In this paper, we will explore the close relationship between the SDE and autoregressive (AR) model. We will solve SDE related to RC circuit with using of AR (1) model (Markov process) and however with Euler-Maruyama (EM) method. Then, we will compare this solutions. Numerical SIMULATIONs in MATLAB are obtained.

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APA: Copy

REZAEYAN, RAMZAN, & FARNOOSH, RAHMAN. (2010). STOCHASTIC DIFFERENTIAL EQUATIONS AND MARKOV PROCESSES IN THE MODELING OF ELECTRICAL CIRCUITS. JOURNAL OF MATHEMATICAL EXTENSION, 4(2 (S.N. 8)), 15-26. SID. https://sid.ir/paper/565410/en

Vancouver: Copy

REZAEYAN RAMZAN, FARNOOSH RAHMAN. STOCHASTIC DIFFERENTIAL EQUATIONS AND MARKOV PROCESSES IN THE MODELING OF ELECTRICAL CIRCUITS. JOURNAL OF MATHEMATICAL EXTENSION[Internet]. 2010;4(2 (S.N. 8)):15-26. Available from: https://sid.ir/paper/565410/en

IEEE: Copy

RAMZAN REZAEYAN, and RAHMAN FARNOOSH, “STOCHASTIC DIFFERENTIAL EQUATIONS AND MARKOV PROCESSES IN THE MODELING OF ELECTRICAL CIRCUITS,” JOURNAL OF MATHEMATICAL EXTENSION, vol. 4, no. 2 (S.N. 8), pp. 15–26, 2010, [Online]. Available: https://sid.ir/paper/565410/en

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