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Simulate a stochastic differential equation?

Posted 7 years ago

Hello there

I need to reproduce the results of a simulation found elsewhere. The model is a set of nonlinear differential equations with 5 variables (x1,x2,z,y1,y2). To the equations on the derivatives of x1 and y1 I need to add a Gaussian noise with standard deviation set to 0.025. To the ones on x2 and y2, 0.25.
Something like: dx1/dt=fx1(x1,x2,y1,y2,z)+WGN(0,0.025), dx2/dt=fx2(x1,x2,y1,y2,z)+WGN(0,0.25)
and so on

Could someone help me out with directions, methods to be used and etc, please?

Thank you.

Ed

POSTED BY: Eduardo Mendes
3 Replies
POSTED BY: Marco Thiel
Posted 7 years ago

Hi Marco

Thank you very for the answer but unfortunately I could not figure out how to adapt your code to my problem. If it is not asking too much, I am sending below the set of equations for you to see. Noise needs to be added to the first, second, fourth and fifth equations. The set of stochastic equations was solved using Euler-Maruyama method in the original paper (10.1093/brain/awu147).

enter image description here

Thank you very much

Ed

POSTED BY: Eduardo Mendes

Can you show me the code that you tried? It seems to be a simple typing exercise; and I am a friend of people typing in their own equations. I might be able to help if you show me your code.

Best wishes, Marco

POSTED BY: Marco Thiel
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