Comparing Hitting Time Behavior of Markov Jump Processes and Their Diffusion Approximations
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Publication:3567049
DOI10.1137/090750202zbMath1202.60138OpenAlexW2132393821MaRDI QIDQ3567049
Desmond J. Higham, Lukasz Szpruch
Publication date: 10 June 2010
Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)
Full work available at URL: https://strathprints.strath.ac.uk/13616/
stochastic differential equationfinite difference methodthermodynamic limitchemical Langevin equationGillespie algorithmmean exit timebirth and death processsquare root process
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to equations with nonlinear operators (65J15)
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