I have the following system of ODEs $$d\mathbf{x}\left(t\right)=A\left(s\left(t\right)\right)\mathbf{x}\left(t\right)dt$$ where $s\left(t\right)\in\left\{ 1,2\right\}$ is the state of the system which follows a (2-state) Markov switching process. The system contains both predetermined variables and forward-looking variables and can be solved analytically for each realization of $\left\{ s\left(t\right)\right\} _{t=0}^{\infty}$. Can I compute the analytical expression for $\mathbb{E}\left[x\left(0\right)\right]$?


Your Answer

By clicking "Post Your Answer", you acknowledge that you have read our updated terms of service, privacy policy and cookie policy, and that your continued use of the website is subject to these policies.

Browse other questions tagged or ask your own question.