Title of article :
Stochastic Diferential Equations and MarkovProcesses in the Modeling of Electrical Circuits
Author/Authors :
Rezaeyan, R. Islamic Azad University ,Nour Branch - Department of Mathematics, ايران , Farnoosh, R. University of Science and Technology - Department of Applied Mathematics, ايران
Abstract :
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.
Keywords :
Stochastic di®erential equation , Markovprocess , white noise , Euler , Maruyama method , electrical circuit , autoregressive , simulation.
Journal title :
Journal of Mathematical Extension(IJME)
Journal title :
Journal of Mathematical Extension(IJME)
