Stochastic differential equation model for linear growth birth and death processes with immigration and emigration
This paper discusses on linear birth and death with immigration and emigration (BIDE) process to stochastic differential equation (SDE) model. Forward Kolmogorov equation in continuous time Markov chain (CTMC) with a central-difference approximation was used to find Fokker-Planckequation correspondi...
Saved in:
Main Authors: | , |
---|---|
Format: | Conference or Workshop Item |
Published: |
American Institute of Physics Inc.
2015
|
Subjects: | |
Online Access: | http://eprints.utm.my/id/eprint/59484/ http://dx.doi.org/10.1063/1.4914435 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Summary: | This paper discusses on linear birth and death with immigration and emigration (BIDE) process to stochastic differential equation (SDE) model. Forward Kolmogorov equation in continuous time Markov chain (CTMC) with a central-difference approximation was used to find Fokker-Planckequation corresponding to a diffusion process having the stochastic differential equation of BIDE process. The exact solution, mean and variance function of BIDE process was found. |
---|