Exact solutions of stochastic differential equations: Gompertz, generalized logistic and revised exponential

DOI10.1007/S11009-009-9145-3MaRDI QIDQ973030zbMATH OpenOpenAlexFDO

Authors Christos H. Skiadas

Publication date 28 May 2010

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-009-9145-3

zbMATH Keywords

Explicit SolutionGeneralized Logistic Stochastic ModelGompertzian Stochastic ModelSDE

Mathematics Subject Classification ID

Generation, random and stochastic difference and differential equations (37H10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

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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Cites work

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Cited in

(15)

• Analytical solutions for stochastic differential equations via martingale processes
• Dynamical behavior analysis of the Leslie-Gower model in random environment
• Stochastic logistic model of the global financial leverage
• Analysis and approximation of a stochastic growth model with extinction
• Dynamical symmetries and model validation
• scientific article; zbMATH DE number 2073366 (Why is no real title available?)
• Some analysis of a stochastic logistic growth model
• scientific article; zbMATH DE number 802757 (Why is no real title available?)
• On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process
• An alternative to Itô's formula to solve linear financial stochastic differential equations
• Logistic and θ-logistic models in population dynamics: general analysis and exact results
• A convergent wavelet-based method for solving linear stochastic differential equations included 1D and 2D noise
• Exact solution of a stochastic differential model for repeated dose pharmacokinetics
• Richards and Gompertz stochastic growth models with time-varying carrying capacity
• Optimal management and valuation of a natural resource: the case of optimal harvesting

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