Exact simulation of the first-passage time of diffusions to time-dependent thresholds

DOI10.1137/24M1718093MaRDI QIDQ6900196zbMATH OpenFDO

Authors Devika Khurana, Sascha Desmettre, Evelyn Buckwar

Publication date 13 November 2025

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/24M1718093

zbMATH Keywords

exact simulationfirst-passage timeneurosciencestochastic differential equationstime-dependent thresholds

Mathematics Subject Classification ID

Simulation of dynamical systems (37M05) Foundations of stochastic processes (60G05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Brownian motion (60J65) Numerical solutions to stochastic differential and integral equations (65C30) Neural biology (92C20)

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