Improved Simulation Techniques for First Exit Time of Neural Diffusion Models

DOI10.1080/03610918.2012.755197zbMath1296.65011OpenAlexW2074795903MaRDI QIDQ2876163

Tony Shardlow, Hasan Alzubaidi

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

convergencenumerical examplesMonte Carlo methodOrnstein-Uhlenbeck processFitzHugh-Nagumo modelfirst exit timeexponential time-stepping Euler algorithmfixed time-step Euler methodone-dimensional neural diffusion models

Mathematics Subject Classification ID

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

Related Items (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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