MATHEMATICA FEATURED EXAMPLE
RLC Circuit Driven by Periodic Signal and White Noise
Consider an electrical circuit consisting of a resistor, inductor, and capacitor connected in series. The circuit is under external voltage, which is a superposition of a periodic signal and a white noise.
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Define the parameters of the model:
Compute the mean function, i.e. the mean value of the charge of the capacitor as a function of time:
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Solve the deterministic problem in the absence of noise and compare with the mean function:
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Compute the variance function:
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Simulate the model using a strong order 1.5 Kloeden-Platen-Schurz scheme:
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Visualize simulated paths:
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Visualize the mean function and its one standard deviation band:
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