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Exact simulation of the jump times of a class of Piecewise Deterministic Markov Processes

In this paper, we are interested in the exact simulation of a class of Piecewise Deterministic Markov Processes (PDMP). We show how to perform efficient thinning algorithms depending on the jump rate bound. For different types of jump rate bounds, we compare theoretically the mean number of generated (total) jump times and we compare numerically the simulation times. We use thinning algorithms on Hodgkin-Huxley models with Markovian ion channels dynamic to illustrate the results.

preprint2017arXivOpen access
Vincent LemaireMichèle ThieullenNicolas Thomas
math.PR
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Open access3 authors1 topic
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
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Vincent LemaireMichèle ThieullenNicolas Thomas

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