7 papers
Stochastic compliance/evasion dynamics in tax models: a piecewise deterministic Markov process approach
Jonas Mayr, Amira Meddah, Irene Tubikanec
This paper introduces a novel stochastic framework for modelling tax evasion dynamics by extending the deterministic model of Bertotti and Modanese (2018) through the use of Piecew…
Approximate Bayesian computation for stochastic hybrid systems with empirically observed ergodic behaviour
Sascha Desmettre, Agnes Mallinger, Amira Meddah +1
Piecewise diffusion Markov processes (PDifMPs) form a versatile class of stochastic hybrid systems that combine continuous diffusion processes with discrete event-driven dynamics,…
The hybrid exact scheme for the simulation of first-passage times of jump-diffusions with time-dependent thresholds
Sascha Desmettre, Devika Khurana, Amira Meddah
The first-passage time is a key concept in stochastic modeling, representing the time at which a process first reaches a specified threshold. In this work, we consider a jump-diffu…
First-passage time for PDifMPs: an Exact simulation approach for time-varying thresholds
Sascha Desmettre, Devika Khurana, Amira Meddah
Piecewise Diffusion Markov Processes (PDifMPs) are valuable for modelling systems where continuous dynamics are interrupted by sudden shifts and/or changes in drift and diffusion.…
American option pricing using generalised stochastic hybrid systems
Evelyn Buckwar, Sascha Desmettre, Agnes Mallinger +1
This paper presents a novel approach to pricing American options using piecewise diffusion Markov processes (PDifMPs), a type of generalised stochastic hybrid system that integrate…
Numerical Approximations and Convergence Analysis of Piecewise Diffusion Markov Processes, with Application to Glioma Cell Migration
Evelyn Buckwar, Amira Meddah
In this paper, we focus on numerical approximations of Piecewise Diffusion Markov Processes (PDifMPs), particularly when the explicit flow maps are unavailable. Our approach is bas…
A stochastic hierarchical model for low grade glioma evolution
Evelyn Buckwar, Martina Conte, Amira Meddah
A stochastic hierarchical model for the evolution of low grade gliomas is proposed. Starting with the description of cell motion using piecewise diffusion Markov processes (PDifMPs…