4 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 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.…