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Analysis of Stochastic Dynamical Systems
(Izmir Institute of Technology, 2007) Güngör, Mesut; Savacı, Ferit Acar; Savacı, Ferit Acar; Savacı, Ferit Acar; 03.05. Department of Electrical and Electronics Engineering; 03. Faculty of Engineering; 01. Izmir Institute of Technology
In this thesis, analysis of stochastic dynamical systems have been considered in the sense of stochastic differential equations (SDEs). Brownian motion, which can be considered as a first example of stochastic dynamical systems, its derivation and its properties have been investigated, then the analytic and numerical solution methods of SDE have been studied with the examples from the physical world. In order to construct a random variable in a computer environment, random number generation algorithms have also been investigated. Finally a Matlab-Simulink block for numerical solutions of linear SDEs has been newly developed.

Master Degree / Yüksek Lisans Tezleri