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stat.ME2025
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,…
cond-mat.stat-mech2025
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…
math.PR2025
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.…