Stochastic differential equation model for linear growth birth and death processes with immigration and emigration

Journal Article · Mon Mar 09 00:00:00 EDT 2015 · AIP Conference Proceedings

DOI:https://doi.org/10.1063/1.4914435· OSTI ID:22391272

Granita, ^[1]; Bahar, A. ^[2]

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1. Dept. Mathematical Education, State Islamic University of Sultan Syarif Kasim Riau, 28293 Indonesia and Dept. of Mathematical Science, Universiti Teknologi Malaysia, 81310,Johor (Malaysia)
2. Dept. of Mathematical Science, Universiti Teknologi Malaysia, 81310,Johor Malaysia and UTM Center for Industrial and Applied Mathematics (UTM-CIAM) (Malaysia)

This paper discusses on linear birth and death with immigration and emigration (BIDE) process to stochastic differential equation (SDE) model. Forward Kolmogorov equation in continuous time Markov chain (CTMC) with a central-difference approximation was used to find Fokker-Planckequation corresponding to a diffusion process having the stochastic differential equation of BIDE process. The exact solution, mean and variance function of BIDE process was found.

• OSTI ID: 22391272
• Journal Information: AIP Conference Proceedings, Vol. 1651, Issue 1; Conference: SYMOMATH 2014: Symposium on Biomathematics, East Java (Indonesia), 31 Aug - 2 Sep 2014; Other Information: (c) 2015 AIP Publishing LLC; Country of input: International Atomic Energy Agency (IAEA); ISSN 0094-243X
• Country of Publication: United States
• Language: English

Related Subjects

71 CLASSICAL AND QUANTUM MECHANICS
GENERAL PHYSICS
APPROXIMATIONS
CHAPMAN-KOLMOGOROV EQUATION
DIFFUSION
EXACT SOLUTIONS
FOKKER-PLANCK EQUATION
MARKOV PROCESS
MATHEMATICAL MODELS