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.
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