The Milstein Numerical Scheme in Solving Stochastic Second Order Networks

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26220%2F15%3APU114658" target="_blank" >RIV/00216305:26220/15:PU114658 - isvavai.cz</a>
Result on the web
<a href="https://ieeexplore.ieee.org/document/7296267" target="_blank" >https://ieeexplore.ieee.org/document/7296267</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1109/TSP.2015.7296267" target="_blank" >10.1109/TSP.2015.7296267</a>

Result language
angličtina
Original language name
The Milstein Numerical Scheme in Solving Stochastic Second Order Networks
Original language description
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.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 38.th International Conference on Telecommunications and Signal Processing
ISBN
978-1-4799-8497-8
ISSN
—
e-ISSN
—
Number of pages
4
Pages from-to
276-279
Publisher name
BUT
Place of publication
Prague
Event location
Prague, Czech Republic
Event date
Jul 9, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000375231000159

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