I’m exploring the SciMl ecosystem for the possibility of modelling something like an OU process where the drift, autoregressive, and volatility parameters are subject to discrete switches governed by a continuous-time Markov chain. For example, let s_t \in \{1,2,\ldots,N\} be governed by the intens…

Resources on Modelling SDE with Parameter Switches

ChrisRackauckas November 12, 2022, 10:21am 2

You’re looking at a jump diffusion equation. See the jump diffusion tutorial: Jump Diffusion Equations · DifferentialEquations.jl

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