A multivariate stochastic hybrid model with switching coefficients and jumps: solution and distribution
type: Item
instance of: scholarly article
title: A multivariate stochastic hybrid model with switching coefficients and jumps: solution and distribution
zbMATH Open document ID: 1234.60063
DOI: 10.1155/2011/720614
author: D. P. Siu
author: G. S. Ladde
published in: Journal of Probability and Statistics
publication date: 2011-10-26T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 34F05
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 60J27
zbMATH DE Number: 5964147
zbMATH Keywords: multidimensional stochastic hybrid dynamic models
zbMATH Keywords: Itô-Doob type stochastic differential equations with switching coefficients
zbMATH Keywords: Ornstein-Uhlenbeck type systems with jumps
Wikidata QID: Q58692060
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2011/720614
OpenAlex ID: W2126418920
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description: scientific article; zbMATH DE number 5964147