About stochastic differential equations
- To: mathgroup at smc.vnet.net
- Subject: [mg19572] About stochastic differential equations
- From: Dimitris Kugiumtzis <dimitris at mpipks-dresden.mpg.de>
- Date: Wed, 1 Sep 1999 23:07:05 -0400
- Sender: owner-wri-mathgroup at wolfram.com
Some time ago I posted a question for how to solve (using
NDSolve) differential equations with noise.
I got some response and I solved the problem (I believe) thanks to
David Park who sent me a notebook. Since some others showed
interest in this problem I attach the notebook (with his permission).
Blimbaum Jerry pointed an easier way to solve the problem (which
I did not test because I had already implemented the notebook
of David):
soln = NDSolve[{x'[t] == Random[] + Sin[t], x[0] == 1}, x[t], {t, 0,
5}] // First
Plot[x[t] /. soln, {t, 0, 5}, PlotRange -> All];
Thanks also to Jens-Peer Kuska and Robert L. Thrash for their
comments.
I should say that I was pleased to get all this response.
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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David Park
djmp at earthlink.net
http://home.earthlink.net/~djmp/\
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Perhaps you can you this as a model for working out your system.\
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Here the equations have been changed to evaluate Random dynamically. I had to \
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--------------8AAB8EAB10A822084B24C553
--------------AEFC719D6E6960B45DD6EE67
Some time ago I posted a question for how to solve (using
NDSolve) differential equations with noise.
I got some response and I solved the problem (I believe) thanks to
David Park who sent me a notebook. Since some others showed
interest in this problem I attach the notebook (with his permission).
Blimbaum Jerry pointed an easier way to solve the problem (which
I did not test because I had already implemented the notebook
of David):
soln = NDSolve[{x'[t] == Random[] + Sin[t], x[0] == 1}, x[t], {t, 0,
5}] // First
Plot[x[t] /. soln, {t, 0, 5}, PlotRange -> All];
Thanks also to Jens-Peer Kuska and Robert L. Thrash for their
comments.
I should say that I was pleased to get all this response.
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
--------------AEFC719D6E6960B45DD6EE67
<HTML>
Some time ago I posted a question for how to solve (using
<BR>NDSolve) differential equations with noise.
<P>I got some response and I solved the problem (I believe) thanks
to
<BR>David Park who sent me a notebook. Since some others showed
<BR>interest in this problem I attach the notebook (with his permission).
<BR>Blimbaum Jerry pointed an easier way to solve the problem (which
<BR>I did not test because I had already implemented the notebook
<BR>of David):
<BR>soln = NDSolve[{x'[t] == Random[] + Sin[t], x[0] == 1}, x[t], {t, 0,
<BR>5}] // First
<BR>Plot[x[t] /. soln, {t, 0, 5}, PlotRange -> All];
<P>Thanks also to Jens-Peer Kuska and Robert L. Thrash for their
<BR>comments.
<P>I should say that I was pleased to get all this response.
<P>Dimitris
<BR>
<PRE>--
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
<A HREF="http://www.mpipks-dresden.mpg.de/~dimitris";>http://www.mpipks-dresden.mpg.de/~dimitris</A></PRE>
</HTML>
--------------AEFC719D6E6960B45DD6EE67--
--------------8AAB8EAB10A822084B24C553
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David Park
djmp at earthlink.net
http://home.earthlink.net/~djmp/\
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Perhaps you can you this as a model for working out your system.\
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End of Mathematica Notebook file.
***********************************************************************)