A Multivariate Stochastic Hybrid Model with Switching Coefficients and Jumps: Solution and Distribution
Keyword(s):
In this work, a class of multidimensional stochastic hybrid dynamic models is studied. The system under investigation is a first-order linear nonhomogeneous system of Itô-Doob type stochastic differential equations with switching coefficients. The switching of the system is governed by a discrete dynamic which is monitored by a non-homogeneous Poisson process. Closed-form solutions of the systems are obtained. Furthermore, the major part of the work is devoted to finding closed-form probability density functions of the solution processes of linear homogeneous and Ornstein-Uhlenbeck type systems with jumps.
2004 ◽
Vol 126
(1)
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pp. 215-219
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1993 ◽
Vol 16
(5)
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pp. 423-443
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2015 ◽
Vol 42
(2)
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pp. 151-161
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2018 ◽
Vol 73
(4)
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pp. 323-330
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1987 ◽
Vol 134
(6)
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pp. 368