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1995-1996 | 23 | 1 | 83-93
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Computer-aided modeling and simulation of electrical circuits with α-stable noise

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The aim of this paper is to demonstrate how the appropriate numerical, statistical and computer techniques can be successfully applied to the construction of approximate solutions of stochastic differential equations modeling some engineering systems subject to large disturbances. In particular, the evolution in time of densities of stochastic processes solving such problems is discussed.
Opis fizyczny
  • Hugo Steinhaus Center for Stochastic Methods, Technical University of Wrocław, 50-370 Wrocław, Poland
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  • A. Janicki (1995), Computer simulation of a nonlinear model for electrical circuits with α-stable noise, this volume, 95-105.
  • A. Janicki, Z. Michna and A. Weron (1994), Approximation of stochastic differential equations driven by α-stable Lévy motion, preprint.
  • A. Janicki and A. Weron (1994), Can one see α-stable variables and processes?, Statist. Sci. 9, 109-126.
  • A. Janicki and A. Weron (1994a), Simulation and Chaotic Behavior of α-Stable Stochastic Processes, Marcel Dekker, New York.
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  • M. Shao and C. L. Nikias (1993), Signal processing with fractional lower order moments: stable processes and their applications, Proc. IEEE 81, 986-1010.
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  • A. Weron (1984), Stable processes and measures: A survey, in: Probability Theory on Vector Spaces III, D. Szynal and A. Weron (eds.), Lecture Notes in Math. 1080, Springer, New York, 306-364.
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