A stochastic diffusion process based on the Lundqvist-Korf growth: Computational aspects and simulation

摘要

Stochastic diffusion models have extensive areas of applications. They have been the object of particular attention in divers fields of science such as biology, physics, chemistry, medical science and mathematical finance. In this paper, we present new non-homogeneous stochastic diffusion process, in which the mean function is proportional to the growth curve of th Lundqvist-Korf. We first analyze the main features of the process including the transition probability density function and th mean functions. We then estimate the parameters of the model by the maximum likelihood method using discrete samplin after which we propose the simulated annealing algorithm to solve the likelihood equations. Finally, in order to highlight th utility of this methodology, we include the results obtained from several examples of simulation.