A Multivariate Stochastic Hybrid Model with Switching Coefficients and Jumps: Solution and Distribution
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 dy...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2011-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2011/720614 |
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| Summary: | 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. |
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| ISSN: | 1687-952X 1687-9538 |