Exact solutions of stochastic differential equations: Gompertz, generalized logistic and revised exponential
type: Item
instance of: scholarly article
title: Exact solutions of stochastic differential equations: Gompertz, generalized logistic and revised exponential
zbMATH Open document ID: 1201.60059
author: Christos H. Skiadas
published in: Methodology and Computing in Applied Probability
publication date: 2010-05-28T00:00:00Z
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.
reviewed by: Claudia Hein
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 37H10
zbMATH DE Number: 5713409
zbMATH Keywords: Gompertzian Stochastic Model
zbMATH Keywords: Generalized Logistic Stochastic Model
zbMATH Keywords: Explicit Solution
zbMATH Keywords: SDE
MaRDI profile type: Publication
full work available at URL: s11009-009-9145-3
OpenAlex ID: W2163820773
cites work: Q4849871
cites work: Stochastic integral
cites work: On stochastic differential equations
cites work: Numerical solution of SDE through computer experiments. Including floppy disk
cites work: A stochastic Bass innovation diffusion model for studying the growth of electricity consumption in Greece
DOI: 10.1007/S11009-009-9145-3
description: scientific article; zbMATH DE number 5713409