Mathematica 9 is now available
Student Support Forum
Student Support Forum: 'Stochastic ODE' topicStudent Support Forum > General > "Stochastic ODE"

Next Comment >Help | Reply To Topic
Author Comment/Response
John Barber
09/13/01 3:47pm

Hi Folks:

I have a small system of stochastic ODE's to solve. Here is the system:


here Q[t] is a random variable, i.e., it takes on a different random value at every instant of time. What makes this difficult is that the statistics of Q depend on the value of q[t] at that moment. Specifically, at each instant in time, Q is sampled from a normal distribution with mean zero and variance 1/(1+q[t]^2).

I wish to be able to numerically solve this ODE, and thus generate random trajectories in the (q,p) plane. (Naturally, each one will be different.) I can't seem to get it to work. I've tried the following, to no avail. (Yes, I remembered to load the Statistics`ContinuousDistributions` package):

NDSolve[{q'[t] == p[t],
p'[t] == -(1 + (Random[NormalDistribution[0, Sqrt[1/(1 + q[t]^2)]]])^2)q[
t], q[0] == 1, p[0] == 0}, {q, p}, {t, 0, 20}]

This generates the warning that the second argument of NormalDistribution[] is not a machine sized number.
Then, I tried creating a function and doing the following:

Q[b_] := Random[NormalDistribution[0, Sqrt[1/(1 + b^2)]]];
NDSolve[{q'[t] == p[t], p'[t] == -(1 + Q[q[t]]^2)q[t], q[0] == 1,
p[0] == 0}, {q, p}, {t, 0, 20}]

This generated the same error message.
Is it possible to do what I am trying to do in Mathematica, or do I have to write my own code?
(Just for reference: a correct solution to the above ODE should trace out a wiggly, Brownian-looking trajectory in the (q,p) plane that goes around in a very rough circle in the clockwise direction.)

John Barber

URL: ,

Subject (listing for 'Stochastic ODE')
Author Date Posted
Stochastic ODE John Barber 09/13/01 3:47pm
Re: Stochastic ODE Forum Modera... 10/05/01 3:26pm
Re: Stochastic ODE John Barber 10/05/01 7:15pm
Re: Stochastic ODE Henry Lamb 10/15/01 03:45am
Re: Stochastic ODE John Barber 10/25/01 11:30am
Re: Stochastic ODE Henry Lamb 10/28/01 01:17am
Re: Stochastic ODE John Barber 10/29/01 10:45am
Next Comment >Help | Reply To Topic