Stochastic Di®erential Equations and Markov Processes in the Modeling of Electrical Circuits

Stochastic di®erential 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.