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Thermal Noise in Nonlinear Devices and Circuits Wolfgang Mathis and Jan Bremer Institute of Theoretical Electrical Engineering (TET) Faculty of Electrical Engineering und Computer Science University of Hannover Germany

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Content 1.Deterministic Circuit Descriptions 2.Stochastic Circuit Descriptions 3.Mesoscopic Approaches 4.Steps in Noise Analysis in Design Automation 5.Bifurcation in Deterministic Circuits 6.Bifurcation in Noisy Circuits and Systems 7.Examples 8.Conclusions

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1.Deterministic Circuit Descriptions 2.Stochastic Circuit Descriptions 3.Mesoscopic Approaches 4.Steps in Noise Analysis in Design Automation 5.Bifurcation in Deterministic Circuits 6.Bifurcation in Noisy Circuits and Systems 7.Examples 8.Noise Analysis of Phase Locked Loops (PLL) 9.Conclusions

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1. Deterministic Circuit Descriptions A. Meissner, 1913 Bob Pease, National Semiconductors

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Real Circuit Modelling Circuit-Model Models for Electronic Circuits Partitioning b b Electrical and Electronic Circuits: The Ohm-Kirchhoff-Approach

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b b Electrical Circuits are defined in Space of all currents and Voltages Description of resistive NW elements: Ohm Space Description of connections: Kirchhoff Space State-Space of Electrical Circuits

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DAE System: Differential- algebraic System DAE Systems consist of many e.g. (100-) thousand Equations numerical solutions necessary! Dynamics electronic Circuits (Networks) Special Cases: State-Space Equations (ODEs) Capacitors Inductors

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Are initial value problems suitable for studying the qualitative behavior? Deterministic Description: ODEs Initial value problems suitable for studying the quantitative behavior!

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Reformulation of the deterministic Dynamics Qualitative behavior: Considering a whole family of systems where generalized Liouville equation DynamicsofaDensityFunction p (Frobenius-Perron-Operator ): Set of Initial Values Density Function p

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Thermal Noise in linear and nonlinear electrical Circuits with noise sources Noise Model 2. Stochastic Circuit Descriptions

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Microscopic Approach Device Modelling Circuits Network Thermodynamics Deterministic Approach Circuit Equations Generalized Liouville Equation Generalization: (Non)linear Circuits including noise Deterministic Circuits Macroscopic Approach Noisy Circuits Mesoscopic Approaches

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Microscopic Approach: Statistical Physics drift movement e.g. Recombination- Generation- Noise Multi-Body System (approx. 10 23 particles) C. Jungemann (see his talk this morning)

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Noise sources as inputs 3. Mesoscopic Approaches Remarks: Fokker-Planck equation as modified generalized Liouville equation Stochastic ODE (SODE): The Langevin Approach:

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Deterministic Circuit (without inputs) Langevin’s Approach: Noisy input output Applications: e.g in Communication Systems Transmission of noisy signals through a deterministic channel (Mathematics: Transformation of stochastic processes)

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Physical Interpretation of SODE (Langevin, 1908) a) Linear Case Average: =0 stoch. Conclusion: First Moment satisfies a determinstic differential equation

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b) Nonlinear Case stoch. Average: =0 Coupling of Moments (van Kampen, 1961) Compare: In nonlinear systems Deterministic nonlinear System: Energetic Coupling of Frequencies Sinusoidal input Coupling of Moments of the probility density Stochastic nonlinear System:

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Alternative: Analyzing nonlinear circuits including noise Numerous papers Methods: Calculation of desired spectra Numerical Methods in Stochastic Differential Equations Geometric Analysis of Stochastic Differential Equations Extraction of Noise Sources (then using the Langevin approach)

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However: Brillouin‘s Paradoxon of nonlinear electrical Circuits Contradiction against the second law of thermodynamics (white noise sources in device models are forbidden: …., Weiss, Mathis, Coram, Wyatt (MIT)) PN-Diode White noise : „A diode can rectify its own noise“ White noise

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Electrical current is related to noisy electron transport internalnoise (cannotswitchedoff) innonlinearsystems (electricalcircuits) Drift Movement phys. No systematic extraction of deterministic equations The entire behavior has to be described as a stochastic process Assumption: description as a Markov process Nonlinear Electronic Circuits Mesoscopic Approach based on statistical thermodynamics

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“First Principle” Mesoscopic Approach for Circuits with Internal Noise Starting Point: Markovian Stochastic Processes are defined by the Chapman-Kolmogorov Equation (Integral equation for the transition probability density) Types of Markov Processes time domain probability density domain Stochastic differential Equation (SODE) Fokker-Planck equation mathematical equivalent! more general partial differential equations for the probability density domain General solutions of the Chapman-Kolmogorov equation by the Kramers-Moyal series

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Derivation of the Kramers-Moyal Coefficients for nonlinear systems by Nonlinear Nonequilibrium Statistical Thermodynamics (Stratonovich): „Thermalnoise“: In thermodynamical equilibrium ( ) the equilibrium densityfunctionis known: However: Restricted to reciprocal circuits (no transistors!) „Irreversible Statistical Thermodynamics of Circuits“ Weiss; Mathis (1995-2001), Dissertation (Weiss) 1999 (stable) Perturbation analysis for calculating coefficients

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Statistical Thermodynamics of Thermal Noise in Nonlinear Circuit Theory Using Stratonovich‘s Approach: Basic is the Markov Assumption determination

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Complete Reciprocal Circuits: Brayton-Moser Description Nonlinear Circuits (Weiss und Mathis (1995-1999)) Starting Point:

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Linear Approximation:

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Quadratic Approximation: 3 2 2 not of Fokker-Planck type

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Cubic Approximation: Noise cannot be determined thermodynamical!

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Our Approach of Noise Spectra Calculations Stratonovich Machine Current-Voltage Relation Circuit Topology Physical Assumptions Correct Noise Spectra (if the physical assumptions valid) Note: Assumptions are not satisfied if non-thermal effects are included (hot electron effects)

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The “Thermodynamic Window” of a Circuit Currents and Voltages Microscopic Behavior

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Stochastic Diff.Equ. ( Noise Source ) duC )u(K dt I S dw Signal Noise Fokker-Planck Equation ( distributed Noise ) t )t,U(p C )U(K U 2 1 )t,U(p 2 I 2 2 C S U )t,U(p Network Equation K(U) = - U / R Thermodynamic Equilibrium )kT/Wexp()U(p Ceq Linear RC Networks: Classical Result Nyquist‘s Formular (linear approximation) our approach equivalent SODE Dissipation Fluctuation

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our approach (equivalent SODE)

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Shot Noise! Note: Shot noise has a thermal background (see Schottky (1918)) our approach

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known from microscopic analysis (see textbooks): our approach known from (simple model)

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known from microscopic analysis (e.g. van der Ziel (1962): our approach

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4. Steps of Noise Analysis in Design Automation First Generation: LTI-Noise Models Linear Noise Analysis based on Schottky-Johnson-Nyquist (Rohrer, Meyer, Nagel: 1971 - …) Small-signal noise models do not work if e.g. bias changes occur, oscillators, more general nonlinear circuits Idea: „Linearization with respect to an operational point (constant solution)“ State Space

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Second Generation: LPTV Models Variational Linear Noise Analysis of Periodical Systems (Hull, Meyer (1993), Hajimiri, Lee (1998)) Useful for periodic driven systems, however heuristic assumptions and concept will be needed for oscillators (Leeson‘s formula) Idea: „Linearization with respect to a periodic solution“ State Space

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Third Generation: SDAE Models Noise Analysis by Stochastic Differential Algebraic Equations (Kärtner (1990), Demir, Roychowdhury (2000)) DAE System: Differential- algebraic System + Noise (stochastic processes) Systematic Results in Phase Jitter of Oscillators as well as other nonlinear systems (e.g. PLL), however the onset of oscillations cannot described

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Given:, Cgs, Cds, RL, y22; Choice: CG, CL (influence of Cgs and Cds „small“) L Cgs//CGCds//CL RL gm Linearization? What is happened if the circuit is non-hyperbolic? x x x C I The dynamical behavior of state space equations is related to the dynamics of the „linearized“ equations in hyperbolic cases. Theorem of Hartman-Grobman: FET Colpitts Oscillator 5. Bifurcation in Deterministic Circuits Non-reciprocal Barkhausen or Nyquist Criteria

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In certain cases Limit Cycles can be observed damping term Example: Sinusoidal Oscillators Obvious solution: positive State space interpretation: Type of damping Periodic Solution negative

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Idea: (Poincaré; Mandelstam, Papalexi - 1931) Embedding of an oscillator (equation) into a parametrized family of oscillator (equations) embedding with Example: Van der Pol equation Analysis of Systems with Limit Cycles

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Cut plane Cut plane Bifurcation Point Andronov-Hopf Bifurcation Stable equilibrium point Limit Cycle State Space

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Poincaré-Andronov-Hopf Theorem (1934,1944) Let with for all in a neighborhood of 0. If the Jacobi matrix includes a pair of imaginary eigenvalues the other eigenvalues have a negative real part the equilibrium point for asymptotic stable Then there exist an asymptotic stable equilibrium point for a stable limit cycle for

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Transient Behavior of a Sinusoidal Oscillator (Center Manifold M c )

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Concept for Analysis of Practical Oscillators Transformation of the linear part: Jordan Normal Form Transformation of the Equations: Center Manifold Transformation of the reduced Equations: Poincaré-Normal Form Averaging Symbolic Analysis (MATHEMATICA, MAPLE)

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6. Bifurcation in Noisy Circuits and Systems Different Concepts: I) The physical (phenomenological) approach (e.g. van Kampen) Behavior of P.D.F. p near a stable equilibrium point initial P.D.F. initial P.D.F. Behavior of P.D.F. p near a unstable equilibrium point? Special Case: Dynamics in a Potential U(x) U(x) ?

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Dynamical Equation: Fokker-Planck stationary SODE

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For the equilibrium P.D.F. p(x) changes its type It is called P-bifurcation (e.g. L. Arnold) Obvious disadvantage: (Zeeman, 1988) “It seems a pity to have to represent a dynamical system by y static picture”* * Arnold, p. 473 ** Arnold, p. 473 II) The mathematical approach (e.g. L. Arnold) Observation:** One-one correspondence: stationary P.D.F. and invariant measures (I.M.) Consider more general invariant measures (if exist) D(ynamical)-Bifurcation Point of a family of stochastic dynamics with a ergodic I.M. “Near” we have another I.M. with

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Question: Is there any relationship between these types of bifurcation In general, there is not! Our example: (above) The corresponding invariant measure to is unique* There is no D-Bifurcation Remark: There are cases with D-bifurcation but no P-bifurcation* * Arnold, p. 476

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Case 1: Pitchfork Bifurcation D P Invariant Measures

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Case 2: Andronov Bifurcation D1D1 P D2D2 invariant measures

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Main Questions: There are stochastic generalizations of geometric theorems Hartman-Grobman Poincaré-Andronov-Hopf Center Manifold Poincarè Normal Form Global H-G: Wanner, 1995 (local H-G: still open question) Arnold, Schenk-Hoppe Namachchivaya 1996 Boxler 1989, Arnold, Kadei 1993 Elphick et al. 1985, C.+G. Nicolis 1986 (physics) Namachchivaya et al. 1991 Arnold, Kedai 1993, 1995 Arnold, Imkeller 1997 Remark: Until now a research program (Arnold,...)

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Meissner oscillator and van der Pol’s equation Meissner‘s Tube Oscillator 7. Examples

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Normalization and Scaling: Noisy frequency: (using results from Arnold, Imkeller 1997)

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Linearization: Center Manifold: 2-dim. Center space and no stable space Normal Form in Resonant Case: (polar coordinates) Solution of stochastic cohomology equation results (see approach: Arnold, Imkeller, 1997)

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Meissner oscillator with nonlinear capacitor Duffing-van der Pol equation q

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Normal Form in Resonant Case: (polar coordinates) Solution of stochastic cohomology equation results (results: Arnold, Imkeller, 1997) noisy case

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Pardoux- Wihstutz formula 1988 determinstic Andronov-Hopf bifurcation first stochastic D-Andronov-Hopf bifurcation Stability is lost Ljapunov-Exponents: stochastic P- Andronov-Hopf bifurcation

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8. Noise Analysis of Phase Locked Loops (PLL) Equivalent Base-band Modell: F(s) + KA sin(.) State Space Equation F(s)=1 F(s) P VCO Phase Detector Lowpass Filter Voltage Controlled Oscillator

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2nd order PLL with ideal Integrator Equivalent Base-band Modell System State Space Equation:

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Noisy state equation Formally, one obtains: But: How do we interpret this equation, if n’(t) is not exactly known? - need generic results noise

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Noisy state equation Necessary Assumption: PLL-bandwidth is small compared with BW of the noise-process - sufficient to model n’(t) as white noise again - rewrite state equation as SDE

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Normalized SDE After time-normalization and introducing parameters from linear PLL noise theory, one obtains: Interpretation: SDE in the Stratonovich sense dw( ) = (t)d : increment of a normalized Wiener process B L : loop noise bandwidth, : frequency offset between input and VCO output, : SNR in the loop

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The Euler-Maruyama scheme (1) based on Ito-Taylor expansion ) consistent with Ito-calculus Ito stochastic integrals ) evaluate Riemann sum approximation at lower endpoint Consider the scalar Ito-SDE And the corresponding Euler-Maruyama scheme

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The Euler-Maruyama scheme Consistency with Ito-calculus Noise term in the EM scheme approximates the Ito stochastic integral over interval [t n, t n+1 ] by evaluating its integrand at the lower end point of this interval, that is

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Phase-acquisition time Time to reach locked state from an initial state

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Transient PDF – Lock-in

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Meantime between cycle slips

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Simulation approach numerically solve the SDE using the Euler-Maruyama scheme estimate probabilities using relative frequencies verify the accuracy with the results from the Fokker-Planck method a relative tolerance level of 5% was allowed Still no simulation required more than 5 minutes on a standard PC

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9. Conclusions Determinstic and stochastic behavior are related in time domain and density function domain Physical description of noise with a nonlinear Langevin equation fails with respect to its physical interpretation For thermal noise in nonlinear reciprocal circuits a well- defined theory is available (L.E. as approx.) For nonhyperbolic circuits (e.g. oscillators) first concepts for a geometric theory is available There is a difference between P- and D-Bifurcation Stochastic D-Andronov-Hopf theorem is illustrated by means of versions of a Meissner oscillator circuit

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10. References B. Beute, W. Mathis, V. Markovic: Noise Simulation of Linear Active Circuits by Numerical Solution of Stochastic Differential Equations. Proceedings of the 12th International Symposium on Theoretical Electrical Engineering (ISTET), 6 - 9 July 2003, Warsaw, Poland Mathis, W.; M. Prochaska: Deterministic and Stochastic Andronov-Hopf Bifurcation in Nonlinear Electronic Oscillations, Proceedings of the 11th workshop on Nonlinear Dynamics of Electronic Systems (EDES), 161- 164, 18-22 May 2003, Scuols, Schweiz W. Mathis: Nonlinear Stochastic Circuits and Systems – A Geometric Approach. Proc. 4 th MATHMOD, 5-7 Februar 2003, Wien (Österreich) L. Weiss: Rauschen in nichtlinearen elektronischen Schaltungen und Bauelementen - ein thermodynamischer Zugang. Berlin; Offenbach: VDE Verlag, 1999. Also: Ph.D. thesis, Fakultät Elektrotechnik, Otto-von- Guericke-Universität Magdeburg, 1999. L. Weiss, W. Mathis: A thermodynamic noise model for nonlinear resistors, IEEE Electron Device Letters, vol. 20, no. 8, pp. 402-404, Aug. 1999. L. Weiss, W. Mathis: A unified description of thermal noise and shot noise in nonlinear resistors (invited paper), UPoN'99, Adelaide, Australia, July 11-15, 1999. L. Weiss, D. Abbott, B. R. Davis: 2-stage RC ladder: solution of a noise paradox, UPoN'99, Adelaide, Australia, July 11-15, 1999. W. Mathis, L. Weiss: Physical aspects of the theory of noise of nonlinear networks, IMACS/CSCC'99, Athens, Greece, July 4-8, 1999. W. Mathis, L. Weiss: Noise equivalent circuit for nonlinear resistors, Proc. ISCAS'99, vol. V of VI, pp. 314-317, Orlando, Florida, USA, May 30 - June 2, 1999. L. Weiss, W. Mathis: Thermal noise in nonlinear electrical networks with applications to nonlinear device models, Proc. IC-SPETO'99, pp. 221-224, Gliwice, Poland, May 19-22, 1999. L. Weiss, W. Mathis: Irreversible Thermodynamics and Thermal Noise of Nonlinear Networks, Int. J. for Computation and Mathematics in Electrical and Electronic Engineering COMPEL, vol. 17, no. 5/6, pp. 635- 648, 1998. W. Mathis, L. Weiss: Noise Analysis of Nonlinear Electrical Circuits and Devices. K. Antreich, R. Bulirsch, A. Gilg, P. Rentrop (Eds.): Modling, Simulation and Optimization of Integrated Circuits. International Series of Numerical Mathematics, Vol. 146, pp. 269-282, Birkhäuser Verlag, Basel, 2003 TET References:

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L. Weiss, M.H.L. Kouwenhoven, A.H.M van Roermund, W. Mathis: On the Noise Behavior of a Diode, Proc. Nolta'98, vol. 1 of 3, pp. 347-350, Crans-Montana, Switzerland, Sept. 14-17, 1998. L. Weiss, W. Mathis: N-Port Reciprocity and Irreversible Thermodynamics, Proc. ISCAS'98, vol. 3 of 6, pp. 407- 410, Monterey, California, USA, May 31 - June 03, 1998. * L. Weiss, W. Mathis, L. Trajkovic: A Generalization of Brayton-Moser's Mixed Potential Function, IEEE CAS I, vol. 45, no. 4, pp. 423-427, April 1998. L. Weiss, W. Mathis: A Thermodynamical Approach to Noise in Nonlinear Networks, International Journal of Circuit Theory and Applications, vol. 26, no. 2, pp. 147-165, March/April 1998. Further references: Langevin, P., Comptes Rendus Acad. Sci. (Paris) 146, 1908, 530 W. Schottky, W.: Über spontane Stromschwankungen in verschiedenen Elektrizitätsleitern, Ann. d. Phys. 57, 1918, 541-567 J. Guckenheimer; P. Holmes: Nonlinear oscillations, dynamical systems, and bifurcation of vector fields. Springer-Verlag, Berlin-Heidelberg 1983 N.G. van Kampen: Stochastic Processes in Physics and Chemistry. North Holland, Amsterdam 1992 R.L. Stratonovich.: Nonlinear Thermodynamics I. Springer-Verlag, Berlin-Heidelberg, 1992 L. Arnold: The unfoldings of dynamics in stochastic analysis. Comput. Appl. Math. 16, 1997, 3-25 W. Mathis: Historical remarks to the history of electrical oscillators (invited). In: Proc. MTNS-98 Symposium, July 1998, IL POLIGRAFO, Padova 1998, 309-312. L. Arnold; P. Imkeller: Normal forms for stochastic differential equations. Probab. Theory Relat. Fields 110, 1998, 559-588 L. Arnold: Random dynamical systems. Berlin-Heidelberg-New York 1998 W. Mathis: Transformation and Equivalence. In: W.-K. Chen (Ed.): The Circuits and Filters Handbook. CRC Press & IEEE Press, Boca Raton 2003

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