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Stochastic differential equations describing systems with coloured noise

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26220%2F18%3APU130468" target="_blank" >RIV/00216305:26220/18:PU130468 - isvavai.cz</a>

  • Result on the web

    <a href="https://www.sav.sk/index.php?lang=en&doc=journal-list&part=article_response_page&journal_article_no=15631" target="_blank" >https://www.sav.sk/index.php?lang=en&doc=journal-list&part=article_response_page&journal_article_no=15631</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.2478/tmmp-2018-0009" target="_blank" >10.2478/tmmp-2018-0009</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Stochastic differential equations describing systems with coloured noise

  • Original language description

    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 It^{o} 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 confidence 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.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database

  • CEP classification

  • OECD FORD branch

    10102 - Applied mathematics

Result continuities

  • Project

    <a href="/en/project/GA15-18288S" target="_blank" >GA15-18288S: Research of signal integrity at high-speed interconnects</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2018

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Tatra Mountains Mathematical Publications

  • ISSN

    1210-3195

  • e-ISSN

  • Volume of the periodical

    1

  • Issue of the periodical within the volume

    71

  • Country of publishing house

    CZ - CZECH REPUBLIC

  • Number of pages

    9

  • Pages from-to

    99-107

  • UT code for WoS article

  • EID of the result in the Scopus database

    2-s2.0-85061429474