Open Access

  

Original research article

On Solving SDEs with linear coefficients and application to stochastic epidemic models

Author(s):

Youssef El-Khatib, Qasem M. Al-Mdallal

Department of Mathematical Sciences, United Arab Emirates University, Al-Ain, UAE.

Advances in the Theory of Nonlinear Analysis and its Applications 6 (2), 280-286.
Received: June 5, 2021

  

  

  

Accepted: February 24, 2022

  

Published: February 27, 2022

Abstract

Stochastic Differential Equations (SDEs) are widely used to model numerous physical quantities across various scientific fields. In particular, linear SDEs play an essential role in epidemic modeling, where ensuring the positivity of key variables is crucial for meaningful results. Previous studies have established positivity using probabilistic arguments, as in Theorem 3.1 of [10]. In this work, we propose an alternative method for demonstrating the positivity of solutions to linear SDEs by employing Itô’s formula. Furthermore, we present several examples illustrating the application of stochastic epidemic models, thereby confirming the effectiveness and simplicity of the proposed approach.

Keywords: Epidemic models; Stochastic differential equations; Stochastic epidemic models.

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APA Style

El-Khatib, Y., & Al-mdallal, Q. (2022). On solving sdes with linear coefficients and application to stochastic epidemic models. Advances in the Theory of Nonlinear Analysis and its Application , 6 (2), 280-286.