A unifying formulation of the Fokker-Planck-Kolmogorov equation for general stochastic hybrid systems

Details A unifying formulation of the Fokker-Planck-Kolmogorov equation for general stochastic hybrid systems A unifying formulation of the Fokker-Planck-Kolmogorov equation for general stochastic hybrid systems

2008-01-24

arxiv.org/abs/0801.3725v2

Mathematics

Probability

Final version. Mistakes corrected in subsection 2.2 (generalized Ito formula and differential generator). Section and subsecti

Scientific paper

10.3182/20080706-5-KR-1001.3331

A general formulation of the Fokker-Planck-Kolmogorov (FPK) equation for stochastic hybrid systems is presented, within the framework of Generalized Stochastic Hybrid Systems (GSHS). The FPK equation describes the time evolution of the probability law of the hybrid state. Our derivation is based on the concept of mean jump intensity, which is related to both the usual stochastic intensity (in the case of spontaneous jumps) and the notion of probability current (in the case of forced jumps). This work unifies all previously known instances of the FPK equation for stochastic hybrid systems, and provides GSHS practitioners with a tool to derive the correct evolution equation for the probability law of the state in any given example.

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