A stochastic diffusion process based on the Lundqvist–Korf growth: Computational aspects and simulation
| Autor: | Abdenbi El Azri, Ahmed Nafidi |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Physics
Numerical Analysis General Computer Science Applied Mathematics Mathematical finance Process (computing) Probability density function 010103 numerical & computational mathematics 02 engineering and technology Function (mathematics) 01 natural sciences Growth curve (statistics) Theoretical Computer Science Diffusion process Modeling and Simulation Simulated annealing 0202 electrical engineering electronic engineering information engineering Applied mathematics 020201 artificial intelligence & image processing 0101 mathematics Diffusion (business) |
| Zdroj: | Mathematics and Computers in Simulation. 182:25-38 |
| ISSN: | 0378-4754 |
| DOI: | 10.1016/j.matcom.2020.10.022 |
| Popis: | Stochastic diffusion models have extensive areas of applications. They have been the object of particular attention in diverse fields of science such as biology, physics, chemistry, medical science and mathematical finance. In this paper, we present a new non-homogeneous stochastic diffusion process, in which the mean function is proportional to the growth curve of the Lundqvist–Korf. We first analyze the main features of the process including the transition probability density function and the mean functions. We then estimate the parameters of the model by the maximum likelihood method using discrete sampling after which we propose the simulated annealing algorithm to solve the likelihood equations. Finally, in order to highlight the utility of this methodology, we include the results obtained from several examples of simulation. |
| Databáze: | OpenAIRE |
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