Stochastic Differential Equations Describing Systems with Coloured Noise

Abstract

Abstract In this paper we deal with stochastic differential equations, that describe systems effected by coloured noise. In electrical systems this can be the case, when e.g. transmission line is modelled by means of proper higher-order ladder network. We define the mathematical representation of the coloured noise as a solution of the Langevin equation and formulate the corresponding Itô type stochastic differential equation. Applying this theory we derive the stochastic model of the network and find sets of individual stochastic trajectories numerically via a stochastic version of the backward Euler scheme. Afterwards respective confi-dence intervals are computed statistically while utilizing Student’s t distribution. The theoretical results are illustrated by an example of a higher-order ladder network. Numerical simulations in the example are carried out using Matlab.