Stochastic Diffusion Process Based on Generalized Brody Curve: Application to Real Data

Journal of Mathematics and Statistics Studies

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Field Value
 
Title Stochastic Diffusion Process Based on Generalized Brody Curve: Application to Real Data
 
Creator Nafidi, Ahmed
Rida, Oussama
Achchab, Boujemaa
 
Subject Stochastic differential equation
Generalized Brody curve
Maximum likelihood
Optimization algorithms
Simulation
life expectancy
 
Description A new stochastic diffusion process based on Generalized Brody curve is proposed. Such a process can be considered as an extension of the nonhomogeneous lognormal diffusion process. From the corresponding Itô’s stochastic differential equation (SDE), firstly we establish the probabilistic characteristics of the studied process, such as the solution to the SDE, the probability transition density function and their distribution, the moments function, in particular the conditional and non-conditional trend functions. Secondly, we treat the parameters estimation problem by using the maximum likelihood method in basis of the discrete sampling, thus we obtain nonlinear equations that can be solved by metaheuristic optimization algorithms such as simulated annealing and variable search neighborhood. Finally, we perform a simulation studies and we apply the model to the data of life expectancy at birth in Morocco.
 
Publisher Al-Kindi Center for Research and Development.
 
Date 2021-01-16
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://al-kindipublisher.com/index.php/jmss/article/view/882
10.32996/jmss.2021.2.1.1
 
Source Journal of Mathematics and Statistics Studies; Vol. 2 No. 1 (2021): Journal of Mathematics and Statistics Studies ; 01-11
 
Language eng
 
Relation https://al-kindipublisher.com/index.php/jmss/article/view/882/817
 
Rights Copyright (c) 2021 Journal of Mathematics and Statistics Studies
https://creativecommons.org/licenses/by-nc-nd/4.0/
 

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