Stochastic Differential Equation (SDE) Solutions
by Abhirup Lahiri
18 Dec 2007
(Updated 18 Dec 2007)
Function used to find solutions of first two moments of LSDE
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| File Information |
| Description |
The linear Stochastic Differential Equation (LSDE) is very widely used equation in the noise analysis of LTI circuits. It involves the input signal to be perturbed with Gaussian white noise. To find the solution statistics like mean, varaiance is a tasking job and requires full power of Stochastic Calculus. The function provided here eases the job and effectively finds the first two moments of LSDE. |
| MATLAB release |
MATLAB 6.5 (R13)
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| 18 Dec 2007 |
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