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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...

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Main Authors: Granita, Granita, Bahar, A.
Format: Conference or Workshop Item
Published: American Institute of Physics Inc. 2015
Subjects:
QA Mathematics
Online Access:http://eprints.utm.my/id/eprint/59484/
http://dx.doi.org/10.1063/1.4914435
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spelling my.utm.594842021-07-26T06:54:14Z http://eprints.utm.my/id/eprint/59484/ Stochastic differential equation model for linear growth birth and death processes with immigration and emigration Granita, Granita Bahar, A. QA Mathematics 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. American Institute of Physics Inc. 2015 Conference or Workshop Item PeerReviewed Granita, Granita and Bahar, A. (2015) Stochastic differential equation model for linear growth birth and death processes with immigration and emigration. In: 2nd International Symposium on Biomathematics, SYMOMATH 2014, 31 August 2014 - 2 September 2014, Brawijaya University, Malang, East Java, Indonesia. http://dx.doi.org/10.1063/1.4914435
institution Universiti Teknologi Malaysia
building UTM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Malaysia
content_source UTM Institutional Repository
url_provider http://eprints.utm.my/
topic QA Mathematics
spellingShingle QA Mathematics
Granita, Granita
Bahar, A.
Stochastic differential equation model for linear growth birth and death processes with immigration and emigration
description 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.
format Conference or Workshop Item
author Granita, Granita
Bahar, A.
author_facet Granita, Granita
Bahar, A.
author_sort Granita, Granita
title Stochastic differential equation model for linear growth birth and death processes with immigration and emigration
title_short Stochastic differential equation model for linear growth birth and death processes with immigration and emigration
title_full Stochastic differential equation model for linear growth birth and death processes with immigration and emigration
title_fullStr Stochastic differential equation model for linear growth birth and death processes with immigration and emigration
title_full_unstemmed Stochastic differential equation model for linear growth birth and death processes with immigration and emigration
title_sort stochastic differential equation model for linear growth birth and death processes with immigration and emigration
publisher American Institute of Physics Inc.
publishDate 2015
url http://eprints.utm.my/id/eprint/59484/
http://dx.doi.org/10.1063/1.4914435
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score 13.209306

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