## Parameter estimation for stochastic diffusion process

25 Feb 2015  ·  Elotma H FSSM ·

In the present paper we propose a new stochastic diffusion process with drift proportional to the Weibull density function defined as X $\epsilon$ = x, dX t = $\gamma$ t (1 - t $\gamma$+1) - t $\gamma$ X t dt + $\sigma$X t dB t , t \textgreater{} 0, with parameters $\gamma$ \textgreater{} 0 and $\sigma$ \textgreater{} 0, where B is a standard Brownian motion and t = $\epsilon$ is a time proche to zero. First we interested to probabilistic solution of this process as the explicit expression of this process... By using the maximum likelihood method and by considering a discrete sampling of the sample of the new process we estimate the parameters $\gamma$ and $\sigma$. read more

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