Affiliation:
1. University Hassan 1 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 .
Abstract
Abstract
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.
Subject
Applied Mathematics,Control and Optimization,Numerical Analysis,Analysis
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