Publication result detail

The Milstein Numerical Scheme in Solving Stochastic Second Order Networks

KOLÁŘOVÁ, E.; BRANČÍK, L.

Original Title

The Milstein Numerical Scheme in Solving Stochastic Second Order Networks

English Title

The Milstein Numerical Scheme in Solving Stochastic Second Order Networks

Type

Paper in proceedings (conference paper)

Original Abstract

The paper deals with vector It\^{o} stochastic integral equations. We replace a parameter in the deterministic model of the RLC electrical circuit with a stochastic one, by adding a noise term to the coefficient and so we introduce the stochastic model of the circuit as a second order stochastic differential equation. By the It\^{o} calculus we solve this equation. For numerical simulations of the stochastic trajectories we present the Euler and the Milstein numerical schemes. We used Matlab for the computations of the stochastic trajectories in the examples.

English abstract

The paper deals with vector It\^{o} stochastic integral equations. We replace a parameter in the deterministic model of the RLC electrical circuit with a stochastic one, by adding a noise term to the coefficient and so we introduce the stochastic model of the circuit as a second order stochastic differential equation. By the It\^{o} calculus we solve this equation. For numerical simulations of the stochastic trajectories we present the Euler and the Milstein numerical schemes. We used Matlab for the computations of the stochastic trajectories in the examples.

Keywords

Ito formula, Mielstein scheme, RLC electrical network, stochastic differential equations, stochastic numerical simulations

Key words in English

Ito formula, Mielstein scheme, RLC electrical network, stochastic differential equations, stochastic numerical simulations

Authors

KOLÁŘOVÁ, E.; BRANČÍK, L.

RIV year

2016

Released

09.07.2015

Publisher

BUT

Location

Prague

ISBN

978-1-4799-8497-8

Book

Proceedings of the 38.th International Conference on Telecommunications and Signal Processing

ISBN

NEUVEDENO

Pages from

276

Pages to

279

Pages count

4

URL

https://ieeexplore.ieee.org/document/7296267

BibTex

@inproceedings{BUT115247,
  author="Edita {Kolářová} and Lubomír {Brančík}",
  title="The Milstein Numerical Scheme in Solving Stochastic Second Order Networks",
  booktitle="Proceedings of the 38.th International Conference on Telecommunications and Signal Processing",
  year="2015",
  number="1",
  pages="276--279",
  publisher="BUT",
  address="Prague",
  doi="10.1109/TSP.2015.7296267",
  isbn="978-1-4799-8497-8",
  url="https://ieeexplore.ieee.org/document/7296267"
}