Title :
A method for solving stochastic differential equation with random coefficients
Author :
Matsuura, Takenobu ; Shinozaki, Toshio
Author_Institution :
Dept. of Commun. Eng., Tokai Univ., Kanagawa, Japan
fDate :
6/23/1905 12:00:00 AM
Abstract :
Presents a method for solving a stochastic differential equation with random coefficients. First, the stochastic differential equation is solved in the power spectral domain. That is, the power spectrum of the solution for the given differential equation is calculated. Second, the solution can be obtained from its power spectrum using an autoregressive model (ARM). Examples are given to show the effectiveness of the proposed method
Keywords :
autoregressive processes; differential equations; spectral-domain analysis; autoregressive model; power spectral domain; power spectrum; random coefficients; stochastic differential equation; Autocorrelation; Differential equations; Fourier transforms; Indium tin oxide; Integral equations; Integrated circuit modeling; Integrated circuit noise; Power engineering and energy; Radiofrequency integrated circuits; Stochastic processes;
Conference_Titel :
Electronics, Circuits and Systems, 2001. ICECS 2001. The 8th IEEE International Conference on
Print_ISBN :
0-7803-7057-0
DOI :
10.1109/ICECS.2001.957548
