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

Ramzan Rezaeyan, Rahman Farnoosh

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.

Keywords


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

Full Text: PDF

Refbacks

  • There are currently no refbacks.


Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.