A multivariate stochastic hybrid model with switching coefficients and jumps: solution and distribution

DOI10.1155/2011/720614zbMATH Open1234.60063OpenAlexW2126418920WikidataQ58692060 ScholiaQ58692060MaRDI QIDQ642452FDOQ642452

Authors: D. P. Siu, G. S. Ladde 

Publication date: 26 October 2011

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/720614

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zbMATH Keywords

multidimensional stochastic hybrid dynamic modelsOrnstein-Uhlenbeck type systems with jumpsItô-Doob type stochastic differential equations with switching coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Continuous-time Markov processes on discrete state spaces (60J27)

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Cited In (1)

• Stochastic hybrid system with non-homogeneous jumps

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