Open AccessStochastic Differential Equations Describing Systems with Coloured Noise
Author(s) -
Edita Kolářová,
Lubomír Brančík
Publication year - 2018
Publication title -
tatra mountains mathematical publications
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.171
H-Index - 12
eISSN - 1338-9750
pISSN - 1210-3195
DOI - 10.2478/tmmp-2018-0009
Subject(s) - stochastic differential equation , mathematics , noise (video) , stochastic partial differential equation , differential equation , representation (politics) , matlab , mathematical analysis , computer science , artificial intelligence , politics , political science , law , image (mathematics) , operating system
In this paper we deal with stochastic differential equations, that describe systems effected by coloured noise. In electrical systems this can be the case, when e.g. transmission line is modelled by means of proper higher-order ladder network. We define the mathematical representation of the coloured noise as a solution of the Langevin equation and formulate the corresponding Itô type stochastic differential equation. Applying this theory we derive the stochastic model of the network and find sets of individual stochastic trajectories numerically via a stochastic version of the backward Euler scheme. Afterwards respective confi-dence intervals are computed statistically while utilizing Student’s t distribution. The theoretical results are illustrated by an example of a higher-order ladder network. Numerical simulations in the example are carried out using Matlab.