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MathGroup Archive 2004

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Re: Differential Equation with Random Noise Input

  • To: mathgroup at smc.vnet.net
  • Subject: [mg49214] Re: Differential Equation with Random Noise Input
  • From: Jens-Peer Kuska <kuska at informatik.uni-leipzig.de>
  • Date: Thu, 8 Jul 2004 02:50:47 -0400 (EDT)
  • Organization: Universitaet Leipzig
  • References: <ccg49a$oqh$1@smc.vnet.net>
  • Reply-to: kuska at informatik.uni-leipzig.de
  • Sender: owner-wri-mathgroup at wolfram.com

Hi,

NDSolve[] can't solve stochatic differential equations,
because it assime that the right hand side of the ode
has smooth derivatives and that is not the case for a stochatic
ode and you should compute a averaged eqution for the
expectation values of your quantities.

Regards
  Jens

Lee Fisher wrote:
> 
> I'm having trouble debugging this code.
> 
> <<Statistics`NormalDistribution`
> <<Statistics`MultiDescriptiveStatistics`
> Res=1;
> Cap=.1;
> time=2;
> input[x_]:=Random[NormalDistribution[0,1]]
> listinput=Table[input[x/sample],{x,0,time*sample}]
> inputfun=Interpolation[listinput];
> result=NDSolve[{Res*Cap*V'[t]+V[t]==inputfun[t],V[0]==0},V,{t,0,time}]
> 
> This should be solving the differential equation using Gaussian white
> noise as the input, but I get the error:
> 
> InterpolatingFunction::dmval: Input value {0.} lies outside the range of
> data in the interpolating function. Extrapolation will be used.
> 
> Thanks in advance for any help.


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