Joint Distributions of Functionals of the Telegraph Process and Switching Diffusions
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DOI: 10.1007/s10958-020-04645-z
Abstract: The paper deals with methods of computation of joint distributions of functionals of the telegraph process and switching diffusions. A switching between two collections of diffusion coefficients happens at Poisson time moments that are independent… read more here.
Keywords: switching diffusions; distributions functionals; process switching; functionals telegraph ... See more keywords
Estimation of regime-switching diffusions via Fourier transforms
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DOI: 10.1007/s11222-024-10397-6
Abstract: In this article, an algorithm for maximum-likelihood estimation of regime-switching diffusions is proposed. The proposed approach uses a Fourier transform to numerically solve the system of Fokker–Planck or forward Kolmogorow equations for the temporal evolution… read more here.
Keywords: switching diffusions; estimation regime; regime switching; diffusions via ... See more keywords
Razumikhin method to stability of delay coupled systems with hybrid switching diffusions
Sign Up to like & getrecommendations! Published in 2020 at "Nonlinear Analysis: Hybrid Systems"
DOI: 10.1016/j.nahs.2020.100934
Abstract: Abstract Delay coupled systems have received a great deal of attention in recent years. However, delay coupled systems with hybrid switching diffusions (DCSHSD) have rarely been discussed and are still important. Thus, this paper is… read more here.
Keywords: hybrid switching; switching diffusions; delay coupled; systems hybrid ... See more keywords