Improved simulation techniques for first exit time of neural diffusion models

DOI10.1080/03610918.2012.755197MaRDI QIDQ2876163zbMATH OpenOpenAlexFDO

Authors Hasan Alzubaidi, Tony Shardlow

Publication date 18 August 2014

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL http://opus.bath.ac.uk/40284/1/mfet_cssc.pdf

zbMATH Keywords

convergenceexponential time-stepping Euler algorithmfirst exit timeFitzHugh-Nagumo modelfixed time-step Euler methodMonte Carlo methodnumerical examplesone-dimensional neural diffusion modelsOrnstein-Uhlenbeck process

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cites work

• A review of the methods for signal estimation in stochastic diffusion leaky integrate-and-fire neuronal models
• Absorbing boundaries and optimal stopping in a stochastic differential equation
• Determination of Firing Times for the Stochastic Fitzhugh-Nagumo Neuronal Model
• Efficient numerical solution of stochastic differential equations using exponential timestepping
• Exponential Timestepping with Boundary Test for Stochastic Differential Equations
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• Mean exit times and the multilevel Monte Carlo method
• Multidimensional Exponential Timestepping with Boundary Test
• Multilevel Monte Carlo Path Simulation
• On the First Passage Time Probability Problem
• Simulation of stopped diffusions
• Weak approximation of killed diffusion using Euler schemes.

Cited in

(2)

• Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance
• An exponential timestepping algorithm for diffusion with discontinuous coefficients

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