Stochastic Differential Equations and Markov Processes in the Modeling of Electrical Circuits

Authors

  • Ramzan Rezaeyan
  • Rahman Farnoosh

DOI:

https://doi.org/10.30495/jme.v0i0.66

Keywords:

Stochastic differential equation, Markov process, white noise, Euler-Maruyama method, electrical circuit, autoregressive, 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.

Author Biographies

Ramzan Rezaeyan

Department of Mathematics Islamic Azad University Nour Branch Nour, Iran.

Rahman Farnoosh

Department of Applied Mathematics Associated Professor of Mathematics University of Science and Technology Narmak Tehran, Iran

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Published

2010-04-02

Issue

Vol 4 (2009-2010)

Section

Vol. 4, No. 2 (2010)

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