Parameter estimation for stochastic diffusion process

Elotma H
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Elotma H: Faculté des Sciences Semlalia [Marrakech] - UCA - Université Cadi Ayyad [Marrakech]

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Abstract: Abstract. In the present paper we propose a new stochastic diffusion process with drift proportional to the Weibull density function defined as X $\epsilon$ = x, dX t = $\gamma$ t (1 - t $\gamma$+1) - t $\gamma$ X t dt + $\sigma$X t dB t , t \textgreater{} 0, with parameters $\gamma$ \textgreater{} 0 and $\sigma$ \textgreater{} 0, where B is a standard Brownian motion and t = $\epsilon$ is a time proche to zero. First we interested to probabilistic solution of this process as the explicit expression of this process. By using the maximum likelihood method and by considering a discrete sampling of the sample of the new process we estimate the parameters $\gamma$ and $\sigma$.

Keywords: stochastic diffusion process; parameter estimation; Itô’s formula; Weibul density; Maximum LikeLihoode (search for similar items in EconPapers)
Date: 2015-02-25
New Economics Papers: this item is included in nep-ecm
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