In this paper we propose a stochastic model to analyze the time evolution of inequality within an economic system. The classical inequality indices (Herfindahl-Hirschman, Gini and Theil’s entropy) are thereby turned into a dynamic form. We show, by using a simulative approach, how it is...

We propose a semi-Markov modulated interest rate model. We assume that the switching process is a semi-Markov process with finite state space and the modulated process is a diffusive process. Classical models such as those by Vasicek and CIR are generalized.