A Multivariate Stochastic Hybrid Model with Switching Coefficients and Jumps: Solution and Distribution
Abstract
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.
Document Details
- Document Type
- Pub Defense Publication
- Publication Date
- Jan 01, 2011
- Source ID
- 10.1155/2011/720614
Entities
People
- D. P. Siu
- G. S. Ladde
Organizations
- Army Research Office
- University of South Florida