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

DOI10.1017/apr.2019.55zbMath1477.65017arXiv1812.08431MaRDI QIDQ3298816

Vincent Lemaire, Michèle Thieullen, Nicolas Thomas

Publication date: 16 July 2020

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.08431

zbMATH Keywords

thinning; multilevel Monte Carlo; Morris-Lecar model; strong error estimate; piecewise deterministic (Markov) processes; weak error expansion

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

65C05: Monte Carlo methods

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)