scholarly journals Some Notes about Inference for the Lognormal Diffusion Process with Exogenous Factors

Mathematics ◽  
2018 ◽  
Vol 6 (5) ◽  
pp. 85 ◽  
Author(s):  
Patricia Román-Román ◽  
Juan Serrano-Pérez ◽  
Francisco Torres-Ruiz
Keyword(s):  
Diffusion Process ◽  
Exogenous Factors ◽  
Lognormal Diffusion Process

FORECASTING FOR THE UNIVARIATE LOGNORMAL DIFFUSION PROCESS WITH EXOGENOUS FACTORS

2003 ◽  
Vol 34 (8) ◽  
pp. 709-724 ◽  
Author(s):  
R. GUTIÉRREZ ◽  
P. ROMÁN ◽  
D. ROMERO ◽  
F. TORRES
Keyword(s):  
Diffusion Process ◽  
Exogenous Factors ◽  
Lognormal Diffusion Process

APPROXIMATING THE NONHOMOGENEOUS LOGNORMAL DIFFUSION PROCESS VIA POLYNOMIAL EXOGENOUS FACTORS

2006 ◽  
Vol 37 (4) ◽  
pp. 293-309 ◽  
Author(s):  
R. Gutiérrez ◽  
N. Rico ◽  
P. Román ◽  
D. Romero ◽  
J. J. Serrano ◽  
...  
Keyword(s):  
Diffusion Process ◽  
Exogenous Factors ◽  
Lognormal Diffusion Process

Inference on some parametric functions in the univeriate lognormal diffusion process with exogenous factors

Test ◽  
2001 ◽  
Vol 10 (2) ◽  
pp. 357-373 ◽  
Author(s):  
Ramón Gutiérrez ◽  
Patrica Román ◽  
Francisco Torres
Keyword(s):  
Diffusion Process ◽  
Exogenous Factors ◽  
Parametric Functions ◽  
Lognormal Diffusion Process

scholarly journals Stochastic Diffusion Process Based on Generalized Brody Curve: Application to Real Data

2021 ◽  
Vol 2 (1) ◽  
pp. 01-11
Author(s):  
Ahmed Nafidi ◽  
Oussama Rida ◽  
Boujemaa Achchab
Keyword(s):  
Diffusion Process ◽  
Transition Density ◽  
Real Data ◽  
Parameters Estimation ◽  
Likelihood Method ◽  
Stochastic Diffusion ◽  
Life Expectancy At Birth ◽  
Transition Density Function ◽  
Lognormal Diffusion Process ◽  
Trend Functions

A new stochastic diffusion process based on Generalized Brody curve is proposed. Such a process can be considered as an extension of the nonhomogeneous lognormal diffusion process. From the corresponding Itô’s stochastic differential equation (SDE), firstly we establish the probabilistic characteristics of the studied process, such as the solution to the SDE, the probability transition density function and their distribution, the moments function, in particular the conditional and non-conditional trend functions. Secondly, we treat the parameters estimation problem by using the maximum likelihood method in basis of the discrete sampling, thus we obtain nonlinear equations that can be solved by metaheuristic optimization algorithms such as simulated annealing and variable search neighborhood. Finally, we perform a simulation studies and we apply the model to the data of life expectancy at birth in Morocco.

Modelling and predicting electricity consumption in Spain using the stochastic Gamma diffusion process with exogenous factors

Energy ◽  
2016 ◽  
Vol 113 ◽  
pp. 309-318 ◽  
Author(s):  
A. Nafidi ◽  
R. Gutiérrez ◽  
R. Gutiérrez-Sánchez ◽  
E. Ramos-Ábalos ◽  
S. El Hachimi
Keyword(s):  
Diffusion Process ◽  
Electricity Consumption ◽  
Exogenous Factors
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