Stochastic Differential Equation (SDE) Solutions

Version 1.0.0.0 (553 Bytes) by Abhirup Lahiri
Function used to find solutions of first two moments of LSDE
0.0
(0)
2.4K Downloads
Updated 18 Dec 2007

No License

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.

Cite As

Abhirup Lahiri (2024). Stochastic Differential Equation (SDE) Solutions (https://www.mathworks.com/matlabcentral/fileexchange/18056-stochastic-differential-equation-sde-solutions), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R13
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Stochastic Differential Equation (SDE) Models in Help Center and MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Version Published Release Notes
1.0.0.0

Spelling Mistakes in a few words