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MathGroup Archive 1999

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Stochastic differential equations

  • To: mathgroup at smc.vnet.net
  • Subject: [mg19467] Stochastic differential equations
  • From: Dimitris Kugiumtzis <dimitris at mpipks-dresden.mpg.de>
  • Date: Sat, 28 Aug 1999 15:53:00 -0400
  • Organization: Max-Planck Institute
  • Sender: owner-wri-mathgroup at wolfram.com

I am not a regular reader of this newsgroup, so no flames if you
find the question too simple or often repeated.

I could not find in Mathematica how one can insert random components
in the differential equations, when one uses NDSolve (giving rise
to stochastic equations or as often referred to dynamic noise in the
generated data). I am thinking something like for example
x'[t]== -(y[t] + z[t])+Random
where, the derivatives of y and z are defined accordingly (imagine
for example the Lorenz equations in Mathematica with noise).

If anyone can add something I would appreciate.

Dimitris

Dimitris Kugiumtzis
Max-Planck-Institute for Physics of Complex Systems
Noethnitzer Str. 38, 01187 Dresden, Germany
office tel: +49-351-8712211, fax: +49-351-8711199
home tel  : +49-351-4702378, mob: +49-171-1646864
official e-mail: dimitris at mpipks-dresden.mpg.de
lifetime e-mail: dimitris.kugiumtzis at iname.com
http://www.mpipks-dresden.mpg.de/~dimitris





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