Research Communication | Open Access
Volume 2019 | Communication ID 190
Volume 2019 | Communication ID 190
| A Stochastic Square of the Rayleigh Diffusion Process |
Ahmed Nafidi, Ghizlane Moutabir, Ramón GutiÉrrez-Sánchez
Received |
Accepted |
Published |
Jan 31, 2019 |
Feb 26, 2019 |
Mar 01, 2019 |
Abstract: Abstract This work describes a study of a new one-dimensional homogeneous stochastic process termed the square of the Rayleigh process. The model is based on the homogeneous stochastic Rayleigh diffusion process [1] which is examined from the perspective of a nonlinear stochastic differential equation and used in various aspects of stochastic modelling such as physics, stochastic finance, demographic and economic [2]. In this study, we first obtain the transition probability density function of the model after which we determine the trend functions (conditional and non-conditional). ...