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2005-11-03Buch DOI: 10.18452/2601
Stochastic DAEs in Circuit Simulation
dc.contributor.authorRömisch, Werner
dc.contributor.authorWinkler, Renate
dc.date.accessioned2017-06-15T17:41:19Z
dc.date.available2017-06-15T17:41:19Z
dc.date.created2005-11-03
dc.date.issued2005-11-03
dc.identifier.issn0863-0976
dc.identifier.urihttp://edoc.hu-berlin.de/18452/3253
dc.description.abstractStochastic differential-algebraic equations (SDAEs) arise as a mathematical model for electrical network equations that are influenced by additional sources of Gaussian white noise. We sketch the underlying analytical theory for the existence and uniqueness of strong solutions, provided that the systems have noise-free constraints and are uniformly of DAE-index 1. In the main part we analyze discretization methods. Due to the differential-algebraic structure, implicit methods will be necessary. We start with a general p-th mean stability result for drift-implicit one-step methods applied to stochastic differential equations (SDEs). We discuss its application to drift-implicit Euler, trapezoidal and Milstein schemes and show how drift-implicit schemes for SDEs can be adapted to become directly applicable to stochastic DAEs. Test results of a drift-implicit Euler scheme with a mean-square step size control are presented for an oscillator circuit.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectStochastic differential and integral equationseng
dc.subjectComputational methodseng
dc.subject.ddc510 Mathematik
dc.titleStochastic DAEs in Circuit Simulation
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10052350
dc.identifier.doihttp://dx.doi.org/10.18452/2601
local.edoc.pages16
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2003
dc.identifier.zdb2075199-0
bua.series.namePreprints aus dem Institut für Mathematik
bua.series.issuenumber2003,3

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