A Multivariate Stochastic Hybrid Model with Switching Coefficients and Jumps Solution and Distribution.pdfVIP

Hindawi Publishing Corporation Journal of Probability and Statistics Volume 2011, Article ID 720614, 20 pages doi:10.1155/2011/720614 Research Article A Multivariate Stochastic Hybrid Model with Switching Coefficients and Jumps: Solution and Distribution D. P. Siu and G. S. Ladde Department of Mathematics and Statistics, University of South Florida, Tampa, FL 33620, USA Correspondence should be addressed to G. S. Ladde, gladde@ Received 9 May 2011; Accepted 7 June 2011 Academic Editor: V. V. Anh Copyright q 2011 D. P. Siu and G. S. Ladde. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. 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 Ito-Doob type stochastic ˆ 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. 1. Introduction The study of stochastic hybrid systems exhibiting both continuous and discrete dynamics has been an area of great interest over the years. The properties of various types of stochastic hybrid systems have been studied extensively. Davis 1, 2 introduced a piecewise-