Title :
Digital simulation of white noise differential equations using Runge Kutta method
Author_Institution :
Agency for Defense Dev., Taejeon, South Korea
Abstract :
In this paper we study some numerical integration methods based on the classical Runge Kutta formula for the digital simulation of differential equations driven by white noise. As a result, we show that the n-th moments of the Riggs and Phillips approximations (1987) converge to those of the solution of Ito equation, which is in contrast to the case of the standard Runge Kutta method. Therefore we must convert the white noise differential equations into the equivalent Ito equations before we use the Riggs and Phillips method for digital simulation. An improved version of the Riggs and Phillips method is also presented
Keywords :
Runge-Kutta methods; differential equations; digital simulation; integration; mathematics computing; numerical analysis; white noise; Ito equation; Runge-Kutta method; approximations; digital simulation; numerical integration methods; white noise differential equations; Differential equations; Digital simulation; Gaussian noise; Gaussian processes; Indium tin oxide; Integral equations; Predictive models; Stochastic processes; White noise; Wideband;
Conference_Titel :
SICE '95. Proceedings of the 34th SICE Annual Conference. International Session Papers
Conference_Location :
Hokkaido
Print_ISBN :
0-7803-2781-0
DOI :
10.1109/SICE.1995.526661