Thinning and multilevel Monte Carlo methods for piecewise deterministic (Markov) processes with an application to a stochastic Morris–Lecar model (Q3298816): Difference between revisions

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English	Thinning and multilevel Monte Carlo methods for piecewise deterministic (Markov) processes with an application to a stochastic Morris–Lecar model	scientific article

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scholarly article

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title

Thinning and multilevel Monte Carlo methods for piecewise deterministic (Markov) processes with an application to a stochastic Morris–Lecar model (English)

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Advances in Applied Probability

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publication date

16 July 2020

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full work available at URL

https://arxiv.org/abs/1812.08431

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zbMATH Keywords

piecewise deterministic (Markov) processes

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multilevel Monte Carlo

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thinning

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strong error estimate

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weak error expansion

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Morris-Lecar model

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MaRDI profile type

MaRDI publication profile

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cites work

Multilevel Monte Carlo for Continuous Time Markov Chains, with Applications in Biochemical Kinetics

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Complexity of Multilevel Monte Carlo Tau-Leaping

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Quantitative ergodicity for some switched dynamical systems

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Point processes and queues. Martingale dynamics

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Q3680030

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Q3136505

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Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction

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A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations

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Q3723577

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Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation

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Multilevel Monte Carlo Path Simulation

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Multilevel Monte Carlo Methods

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Exact estimation for Markov chain equilibrium expectations

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Unbiased Estimation with Square Root Convergence for SDE Models

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Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation

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Q4433869

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Q3378427

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Multilevel Richardson-Romberg extrapolation

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Exact simulation of the jump times of a class of piecewise deterministic Markov processes

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Numerical probability. An introduction with applications to finance

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Fluid limit theorems for stochastic hybrid systems with application to neuron models

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A technique for exponential change of measure for Markov processes

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Expansion of the global error for numerical schemes solving stochastic differential equations

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Multilevel Path Simulation for Jump-Diffusion SDEs

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Identifiers

zbMATH Open document ID

1477.65017

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DOI

10.1017/apr.2019.55

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:3298816

@@ Property / cites work @@
+Multilevel Monte Carlo for Continuous Time Markov Chains, with Applications in Biochemical Kinetics
+Normal rank
@@ Property / cites work @@
+Complexity of Multilevel Monte Carlo Tau-Leaping
@@ Property / cites work: Complexity of Multilevel Monte Carlo Tau-Leaping / rank @@
+Normal rank
@@ Property / cites work @@
+Quantitative ergodicity for some switched dynamical systems
+Normal rank
@@ Property / cites work @@
+Point processes and queues. Martingale dynamics
@@ Property / cites work: Point processes and queues. Martingale dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+Q3680030
@@ Property / cites work: Q3680030 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3136505
@@ Property / cites work: Q3136505 / rank @@
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction
+Normal rank
@@ Property / cites work @@
+A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q3723577
@@ Property / cites work: Q3723577 / rank @@
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Methods
@@ Property / cites work: Multilevel Monte Carlo Methods / rank @@
+Normal rank
@@ Property / cites work @@
+Exact estimation for Markov chain equilibrium expectations
+Normal rank
@@ Property / cites work @@
+Unbiased Estimation with Square Root Convergence for SDE Models
+Normal rank
@@ Property / cites work @@
+Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation
+Normal rank
@@ Property / cites work @@
+Q4433869
@@ Property / cites work: Q4433869 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3378427
@@ Property / cites work: Q3378427 / rank @@
+Normal rank
@@ Property / cites work @@
+Multilevel Richardson-Romberg extrapolation
@@ Property / cites work: Multilevel Richardson-Romberg extrapolation / rank @@
+Normal rank
@@ Property / cites work @@
+Exact simulation of the jump times of a class of piecewise deterministic Markov processes
+Normal rank
@@ Property / cites work @@
+Numerical probability. An introduction with applications to finance
+Normal rank
@@ Property / cites work @@
+Fluid limit theorems for stochastic hybrid systems with application to neuron models
+Normal rank
@@ Property / cites work @@
+A technique for exponential change of measure for Markov processes
+Normal rank
@@ Property / cites work @@
+Expansion of the global error for numerical schemes solving stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Multilevel Path Simulation for Jump-Diffusion SDEs
+Normal rank