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Journal of Scientific Computing

Erschienen in:

02.12.2017

Exact Simulation of the Jump Times of a Class of Piecewise Deterministic Markov Processes

verfasst von: Vincent Lemaire, Michèle Thieullen, Nicolas Thomas

Erschienen in: Journal of Scientific Computing | Ausgabe 3/2018

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Abstract

In this paper, we are interested in the exact simulation of a class of piecewise deterministic Markov processes. We show how to perform an efficient thinning algorithm depending on the jump rate bound. For different types of bounds, we compare theoretically the efficiency of the algorithm (measured by the mean ratio between the total number of jump times generated by thinning and the number of selected ones) and we compare numerically the computation times. We use the thinning algorithm on Hodgkin–Huxley models with Markovian ion channels dynamics to illustrate our results.

Vorheriger Artikel The Linear Barycentric Rational Method for a Class of Delay Volterra Integro-Differential Equations

Nächster Artikel An Improved Third-Order WENO-Z Scheme

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Titel: Exact Simulation of the Jump Times of a Class of Piecewise Deterministic Markov Processes
verfasst von: Vincent Lemaire
Michèle Thieullen
Nicolas Thomas
Publikationsdatum: 02.12.2017
Verlag: Springer US
Erschienen in: Journal of Scientific Computing / Ausgabe 3/2018
Print ISSN: 0885-7474
Elektronische ISSN: 1573-7691
DOI: https://doi.org/10.1007/s10915-017-0607-4

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