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.