A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries
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Ornstein-Uhlenbeck processstochastic differential equationsGauss-Markov processesnumerical algorithmfirst-passage times
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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Cites work
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- scientific article; zbMATH DE number 3806623 (Why is no real title available?)
- scientific article; zbMATH DE number 1405267 (Why is no real title available?)
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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
- Multiresolution Hilbert approach to multidimensional Gauss-Markov processes
- A Transition to Sharp Timing in Stochastic Leaky Integrate-and-Fire Neurons Driven by Frozen Noisy Input
- 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
- 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 phase transition in the first passage of a Brownian process through a fluctuating boundary with implications for neural coding
- 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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