Exact solutions of stochastic differential equations: Gompertz, generalized logistic and revised exponential (Q973030)
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| English | Exact solutions of stochastic differential equations: Gompertz, generalized logistic and revised exponential |
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Exact solutions of stochastic differential equations: Gompertz, generalized logistic and revised exponential (English)
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28 May 2010
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The author uses methods from [\textit{P. E. Kloeden} and \textit{E. Platen}, Numerical solution of stochastic differential equations. Applications of Mathematics. 23. Berlin: Springer-Verlag. (1992; Zbl 0752.60043)] to derive solutions for some stochastic differential equations by transforming the equation and applying Itô's formula. This way it is possible to obtain explicit formulas for the solution, mean and variance of the Gompertzian Stochastic Model, the Logistic Stochastic Model and the Generalized Logistic Stochastic Model.
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Gompertzian Stochastic Model
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Generalized Logistic Stochastic Model
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Explicit Solution
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SDE
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