A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries

DOI10.1007/S10955-010-0033-6zbMATH Open1339.60098OpenAlexW1980181762MaRDI QIDQ643719FDOQ643719

Authors: Thibaud Taillefumier, Marcelo O. Magnasco 

Publication date: 2 November 2011

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10955-010-0033-6

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zbMATH Keywords

Ornstein-Uhlenbeck processstochastic differential equationsGauss-Markov processesnumerical algorithmfirst-passage times

Mathematics Subject Classification ID

Gaussian processes (60G15) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (22)

• A first passage problem for a bivariate diffusion process: Numerical solution with an application to neuroscience when the process is Gauss-Markov
• The first passage time problem for Gauss-diffusion processes: algorithmic approaches and applications to LIF neuronal model
• Exact event-driven implementation for recurrent networks of stochastic perfect integrate-and-fire neurons
• A Transition to Sharp Timing in Stochastic Leaky Integrate-and-Fire Neurons Driven by Frozen Noisy Input
• Multiresolution Hilbert approach to multidimensional Gauss-Markov processes
• Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary
• Fractionally integrated Gauss-Markov processes and applications
• Integrated stationary Ornstein-Uhlenbeck process, and double integral processes
• Analysis of reflected diffusions via an exponential time-based transformation
• Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary
• On the construction of a special class of time-inhomogeneous diffusion processes
• A phase transition in the first passage of a Brownian process through a fluctuating boundary with implications for neural coding
• Approximation of the first passage time density of a Wiener process to an exponentially decaying boundary by two-piecewise linear threshold. Application to neuronal spiking activity
• Successive spike times predicted by a stochastic neuronal model with a variable input signal
• A simple algorithm to generate firing times for leaky integrate-and-fire neuronal model
• A computational approach to first-passage-time problems for Gauss-Markov processes
• A Monte Carlo method for the simulation of first passage times of diffusion processes
• Stochastic integrate and fire models: a review on mathematical methods and their applications
• Improved integral equation solution for the first passage time of leaky integrate-and-fire neurons
• Improved simulation techniques for first exit time of neural diffusion models
• First passage time for Brownian motion and piecewise linear boundaries
• Two-boundary first exit time of Gauss-Markov processes for stochastic modeling of acto-myosin dynamics

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