A γ-power stochastic Lundqvist-Korf diffusion process: Computational aspects and simulation
In this paper, we introduce a new family of stochastic Lundqvist-Korf diffusion process, defined from a g-power of the Lundqvist-Korf diffusion process. First, we determine the probabilistic characteristics of the process, such as its analytic expression, the transition probability density function...
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| Format: | Article |
| Language: | English |
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Sciendo
2022-09-01
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| Series: | Moroccan Journal of Pure and Applied Analysis |
| Subjects: | |
| Online Access: | https://doi.org/10.2478/mjpaa-2022-0025 |
| _version_ | 1798013920403783680 |
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| author | Abdenbi El Azri Ahmed Nafidi |
| author_facet | Abdenbi El Azri Ahmed Nafidi |
| author_sort | Abdenbi El Azri |
| collection | DOAJ |
| description | In this paper, we introduce a new family of stochastic Lundqvist-Korf diffusion process, defined from a g-power of the Lundqvist-Korf diffusion process. First, we determine the probabilistic characteristics of the process, such as its analytic expression, the transition probability density function from the corresponding It ˆo stochastic differential equation and obtain the conditional and non-conditional mean functions. We then study the statistical inference in this process. The parameters of this process are estimated by using the maximum likelihood estimation method with discrete sampling, thus we obtain a nonlinear equation, which is achieved via the simulated annealing algorithm. Finally, the results of the paper are applied to simulated data. |
| first_indexed | 2024-04-11T15:09:18Z |
| format | Article |
| id | doaj.art-5348ea92612248e8b1ba57b327ffa1a7 |
| institution | Directory Open Access Journal |
| issn | 2351-8227 |
| language | English |
| last_indexed | 2024-04-11T15:09:18Z |
| publishDate | 2022-09-01 |
| publisher | Sciendo |
| record_format | Article |
| series | Moroccan Journal of Pure and Applied Analysis |
| spelling | doaj.art-5348ea92612248e8b1ba57b327ffa1a72022-12-22T04:16:41ZengSciendoMoroccan Journal of Pure and Applied Analysis2351-82272022-09-018336437410.2478/mjpaa-2022-0025A γ-power stochastic Lundqvist-Korf diffusion process: Computational aspects and simulationAbdenbi El Azri0Ahmed Nafidi1University Hassan 1st of Settat, National School of Applied Sciences, Department of Mathematics and Computer Science, Laboratory of Systems Modelization and Analysis for Decision Support, B.P. 218, 26103, Berrechid, Morocco.University Hassan 1st of Settat, National School of Applied Sciences, Department of Mathematics and Computer Science, Laboratory of Systems Modelization and Analysis for Decision Support, B.P. 218, 26103, Berrechid, Morocco.In this paper, we introduce a new family of stochastic Lundqvist-Korf diffusion process, defined from a g-power of the Lundqvist-Korf diffusion process. First, we determine the probabilistic characteristics of the process, such as its analytic expression, the transition probability density function from the corresponding It ˆo stochastic differential equation and obtain the conditional and non-conditional mean functions. We then study the statistical inference in this process. The parameters of this process are estimated by using the maximum likelihood estimation method with discrete sampling, thus we obtain a nonlinear equation, which is achieved via the simulated annealing algorithm. Finally, the results of the paper are applied to simulated data.https://doi.org/10.2478/mjpaa-2022-0025stochastic lundqvist-korf diffusion processmaximum likelihood estimationsimulated annealing methodstatistical inference in diffusion processsimulation62m8662m2060h3060h3565c30 |
| spellingShingle | Abdenbi El Azri Ahmed Nafidi A γ-power stochastic Lundqvist-Korf diffusion process: Computational aspects and simulation Moroccan Journal of Pure and Applied Analysis stochastic lundqvist-korf diffusion process maximum likelihood estimation simulated annealing method statistical inference in diffusion process simulation 62m86 62m20 60h30 60h35 65c30 |
| title | A γ-power stochastic Lundqvist-Korf diffusion process: Computational aspects and simulation |
| title_full | A γ-power stochastic Lundqvist-Korf diffusion process: Computational aspects and simulation |
| title_fullStr | A γ-power stochastic Lundqvist-Korf diffusion process: Computational aspects and simulation |
| title_full_unstemmed | A γ-power stochastic Lundqvist-Korf diffusion process: Computational aspects and simulation |
| title_short | A γ-power stochastic Lundqvist-Korf diffusion process: Computational aspects and simulation |
| title_sort | γ power stochastic lundqvist korf diffusion process computational aspects and simulation |
| topic | stochastic lundqvist-korf diffusion process maximum likelihood estimation simulated annealing method statistical inference in diffusion process simulation 62m86 62m20 60h30 60h35 65c30 |
| url | https://doi.org/10.2478/mjpaa-2022-0025 |
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