首页 | 本学科首页   官方微博 | 高级检索  
     


Some analysis of a stochastic logistic growth model
Authors:Peter Kink
Affiliation:Faculty of Computer and Information Sciences, University of Ljubljana, Ljubljana, Slovenia
Abstract:We derive several new results on a well-known stochastic logistic equation. For the martingale case, we compute the distribution of the solution, mean passage times, and the distribution of hitting times, all in closed form. For the case of constant coefficients, we also find mean passage times and for the general equation we give the weak solution expressed in terms of stochastic quadratures. We also show how these quadratures may be considerably simplified using the results for the martingale case. As it turns out, the martingale case has a particularly elegant weak solution, and to a large degree its structure carries over to the general case.
Keywords:Stochastic processes  stochastic differential equations  Itô calculus  martingales with continuous parameter  stochastic logistic equation
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号