Detail publikačního výsledku

The Milstein Numerical Scheme in Solving Stochastic Second Order Networks

KOLÁŘOVÁ, E.; BRANČÍK, L.

Originální název

The Milstein Numerical Scheme in Solving Stochastic Second Order Networks

Anglický název

The Milstein Numerical Scheme in Solving Stochastic Second Order Networks

Druh

Stať ve sborníku v databázi WoS či Scopus

Originální abstrakt

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.

Anglický abstrakt

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.

Klíčová slova

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

Klíčová slova v angličtině

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

Autoři

KOLÁŘOVÁ, E.; BRANČÍK, L.

Rok RIV

2016

Vydáno

09.07.2015

Nakladatel

BUT

Místo

Prague

ISBN

978-1-4799-8497-8

Kniha

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

ISSN

NEUVEDENO

Strany od

276

Strany do

279

Strany počet

4

URL

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

Plný text v Digitální knihovně

http://hdl.handle.net/

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"
}