<abstract xmlns="http://www.w3.org/1999/xhtml"><p>In this study, a new method to obtain approximate probability density function (pdf) of random variable of solution of stochastic differential equations (SDEs) by using generalized entropy optimization methods (GEOM) is developed. By starting given statistical data and Euler–Maruyama (EM) method approximating SDE are constructed several trajectories of SDEs. The constructed trajectories allow to obtain random variable according to the fixed time. An application of the newly developed method includes SDE model fitting on weekly closing prices of Honda Motor Company stock data between 02 July 2018 and 25 March 2019.</p></abstract>

In this study, a new method to obtain approximate probability density function (pdf) of random variable of solution of stochastic differential equations (SDEs) by using generalized entropy optimization methods (GEOM) is developed. By starting given statistical data and Euler–Maruyama (EM) method approximating SDE are constructed several trajectories of SDEs. The constructed trajectories allow to obtain random variable according to the fixed time. An application of the newly developed method includes SDE model fitting on weekly closing prices of Honda Motor Company stock data between 02 July 2018 and 25 March 2019.

An Application of New Method to Obtain Probability Density Function of Solution of Stochastic Differential Equations

Department of Statistics, Faculty of Science

Applied Mathematics and Nonlinear Sciences

This work is licensed under the Creative Commons Attribution 4.0 International License.

In this study, a new method to obtain approximate probability density function (pdf) of random variable of solution of stochastic differential equations (SDEs)...

An Application of New Method to Obtain Probability Density Function of Solution of Stochastic Differential Equations

Publié en ligne: 31 mars 2020

Pages: 337 - 348

Reçu: 15 juin 2019

Accepté: 10 août 2019

DOI: https://doi.org/10.2478/amns.2020.1.00031

Mots clés
generalized entropy optimization methods, stochastic differential equation model, Euler–Maruyama Method

© 2020 Nihal İnce et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

An Application of New Method to Obtain Probability Density Function of Solution of Stochastic Differential Equations

Publié en ligne: 31 mars 2020

Pages: 337 - 348

Reçu: 15 juin 2019

Accepté: 10 août 2019

DOI: https://doi.org/10.2478/amns.2020.1.00031

Mots clésgeneralized entropy optimization methods, stochastic differential equation model, Euler–Maruyama Method

© 2020 Nihal İnce et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Mots clés
generalized entropy optimization methods, stochastic differential equation model, Euler–Maruyama Method