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

DOI10.1155/2011/720614MaRDI QIDQ642452zbMATHOpenAlexWikidataFDO

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

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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