A multivariate stochastic hybrid model with switching coefficients and jumps: solution and distribution
Summary: 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.
multidimensional stochastic hybrid dynamic models
Itô-Doob type stochastic differential equations with switching coefficients
Ornstein-Uhlenbeck type systems with jumps
scientific article; zbMATH DE number 5964147
scientific article