A Multivariate Stochastic Hybrid Model with Switching Coefficients and Jumps : Solution and Distribution
Joint Authors
Source
Journal of Probability and Statistics
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-20, 20 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-08-28
Country of Publication
Egypt
No. of Pages
20
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Siu, D. P.& Ladde, G. S.. 2011. A Multivariate Stochastic Hybrid Model with Switching Coefficients and Jumps : Solution and Distribution. Journal of Probability and Statistics،Vol. 2011, no. 2011, pp.1-20.
https://search.emarefa.net/detail/BIM-493261
Modern Language Association (MLA)
Siu, D. P.& Ladde, G. S.. A Multivariate Stochastic Hybrid Model with Switching Coefficients and Jumps : Solution and Distribution. Journal of Probability and Statistics No. 2011 (2011), pp.1-20.
https://search.emarefa.net/detail/BIM-493261
American Medical Association (AMA)
Siu, D. P.& Ladde, G. S.. A Multivariate Stochastic Hybrid Model with Switching Coefficients and Jumps : Solution and Distribution. Journal of Probability and Statistics. 2011. Vol. 2011, no. 2011, pp.1-20.
https://search.emarefa.net/detail/BIM-493261
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-493261