1

JPM030309
Equations Diffrentielles Stochastiques
classiques

2
me
partie

6. Population growth

i. EDS
( )
( )
( )
( )
( ) . 1 . ( )
0, 0
X t
dX t X t dt X t dB t
K
t X

| |
= +
|
\
=


ii. Solution
( )
( ) ( )
2
2
1
0
exp .
2
( )
0 exp .
2
t
t B t
X t
X s B s ds
K

| |
+
`
|
\ )
=

| |
+ + (
`
|

\
)

iii. EDP
Backward equation
( ) ( ) ( )
2
2 2
2
1
. 1
2
x
p x p x p
s K x x

| |
= +
|

\


Forward equation
( ) ( )
2
2 2
2
1
1 . .
2
y
p y p y p
t y K y

( | |
= +
| (

\


iv. Simulation

a. Sous R (sde.sim) avec 1 = , 0 5 100 X K = =
0.(sans bruit), 0.25, 0.5 =

library(sde)
r<-1
k<-100
v<-0.5
d<-expression(r*x*(1-x/k))
s<-expression(v*x)
dx<-expression(r*(1-2*x/k))
dxx<-expression(-2*r/k)
2
sx<-expression(v)
sxx<-0
dt<-0
sde.sim(t0=0, T=10, X0=5, N=1000,drift=d, sigma=s, drift.x=dx,
sigma.x=sx, sigma.xx=sxx, drift.t=dt, method="milstein") -> x
plot(x, main="Logistique bruite r=1,k=100,v=0.5,X0=5,T=10 ")




3




v. Distribution stationnaire

Il est facile de montrer que, lorsque
2
2

> , la distribution stationnaire a

une distribution proportionnelle :
2
2 1
2
2
.exp y y
K

| |

|
|
\
| |

|
\

Cest une loi gamma de paramtres
2
2
1

et
2
2
K

.
Son esprance est gale :
2
. 1
2
K

| |
=
|
\

Sa variance est gale :
2 2
2 2
. 1 .
2 2
K

| | | |
=
| |
\ \







4

7. Cox, Ingersoll and Ross

i. EDS
( ) ( ) ( ) ( ) . . . ( )
, et sont des constantes
dX t b a X t dt X t dB t
b a

= +


ii. Solution
( ) ( ) ( ) ( ) ( )
0
( ) 0 exp . .exp
t
X t a X a b u X u dW u bt
| |
= + +
|
\

iii. EDP

Backward equation
( ) ( ) ( )
2
2
2
1
.( )
2
p b a x p x p
s x x

= +



Forward equation
( ) ( ) ( )
2
2
2
1
. . .
2
p b a y p y p
t y y


= + (




iv. Simulation


Sous R (sde.sim) avec 1 r b = = , 0 10 100 X K = = 0.5 v =

library(sde)
r<-1
k<-100
v<-0.5
d<-expression(r*(k-x))
s<-expression(v*sqrt(x))
dx<-expression(-r)
sx<-expression(1/2*(1/x)^(0.5))
sxx<-expression(-1/4*(x)^(-3/4))
dt<-0
sde.sim(t0=0, T=10,X0=10, N=1000, drift=d, sigma=s, drift.x=dx,
+ sigma.x=sx, sigma.xx=sxx, drift.t=dt, method="milstein") -> x
plot(x, main="Cox - Ingersoll - Ross r=1,k=100,v=0.5,X0=10,T=10")








5








6



v. Distribution stationnaire

On vrifiera que, lorsque
2
2
1
ab

> , le processus est stationnaire ; sa

distribution est une Gamma de paramtre de forme :
2
2ab
k

= et de
paramtre dchelle :
2
2b

= ; sa densit est gale :

( )
( )
1
,
1
.exp
k
k
k
y
p y y
k

| |
=
|

\

Esprance : . k a =
Variance :
2
2
1 .
.
2
a
k
b

=


La densit est solution de :
( ) ( ) ( )
2
2
2
1
0 . . .
2
p b a y p y p
t y y


= = + (








7
8. Wright Fisher diffusion


i. EDS
( ) ( ) ( ) { }
( ) ( ) ( )
1 2
( ) . . 1 . 1 . ( ) dX t X t X t dt X t X t dB t = + +


( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( )
1 2
2 1
0 . 1 . ( )
0, . 1 . ( )
dX t X t X t dB t
dX t X t dt X t X t dB t


= = =
= = = +



ii. EDP

Backward equation
( ) ( ) { } ( ) ( ) ( )
2
1 2
2
1
1 1
2
p x x p x x p
s x x


= + +



Forward equation
( ) ( ) { } ( )
2
1 2 2
1
1 . 1 .
2
p y y p y y p
t y y


( = + + (





iii. Simulation

Sous R (sde.sim) avec
1 2
1
2
= = ,



library(sde)
g1<-0.5
g2<-0.5
d<-expression(-g1*x+g2*(1-x))
s<-expression(sqrt(x*(1-x)))
dx<-expression(-(g1+g2))
sx<-expression(1/2*(1-2*x)*(x*(1-x))^(-1/2))
#sxx<-expression()
dt<-0
sde.sim(t0=0, T=10,X0=0.5, N=1000, drift=d, sigma=s, drift.x=dx,
sigma.x=sx, drift.t=dt, method="milstein") -> x
plot(x, main="Wright - Fisher g1=g2=0.5")





8




iv. Distribution stationnaire

( )
( )
( )
( )
( )
( ) ( ) ( )
1
2
0
1 2
2 1
2 1
2 2
1 2 1 2
, 0 distribution stationnaire
2
exp 1
2 2 / 2 2
x
x
y
C
x dy C x x
x y
C

>
| |
= = |
|
\
= +

9. Bibliographie

[Feller] W. Feller (1951)
Diffusion processes in Genetics
Second Berkeley Symposium on Math. Stat. and Probab.,227-246.

[Gard] Thomas C. Gard (1988)
Introduction to Stochastic Differential Equations
Marcel Dekker, Inc. New-York and Basel.

[Kleb] Fima C. Klebaner (2001)
Introduction to Stochastic Calculus with Applications
Imperial College Press.

9
[Ture] Michael Turelli (1977)
Random Environments and Stochastic Calculus
Theoretical Population Biology 12, 140-178 (1977).

[Okse] Bernt Oksendal (2000)
Stochastic Differential Equations : An introduction with Applications
Springer-Verlag, Fifth Edition.

[Iacus] Stefano Maria Iacus (2009)
The sde Package (Version 2.0.4 sous R)
Simulation and Inference for Stochastic Differential Equations With R
Examples
Springer, New-York