𝔖 Bobbio Scriptorium
✦   LIBER   ✦

First-passage-time problem for simulated stochastic diffusion processes

✍ Scribed by Petr Lánský; Věra Lánská

Publisher
Elsevier Science
Year
1994
Tongue
English
Weight
930 KB
Volume
24
Category
Article
ISSN
0010-4825

No coin nor oath required. For personal study only.

✦ Synopsis

Solving the first-passage-time problem for one-dimensional stochastic diffusion processes is a task with many applications in biomedical research. It has been noted (Musila and L&nsky, Int. /. Biomed. Cornput. 31,233-245,1992) that the first-passage time is overestimated if computed as the time when the simulated trajectory of the process crosses the threshold. It is studied in this paper how the error depends on the simulation step and on the parameters of the process. We propose an adaptive algorithm to make the simulation faster. The presented examples are related to neuronal modelling, but application in other fields is straightforward.

Stochastic diffusion process

First-passage-time problem Adaptive algorithm Neuronal model

Computer simulation

📜 SIMILAR VOLUMES

First passage time statistics for some s
First passage time statistics for some stochastic processes with superimposed shot noise
✍ Jaume Masoliver; George H. Weiss 📂 Article 📅 1988 🏛 Elsevier Science 🌐 English ⚖ 482 KB

We present a method for finding statistical properties of the first passage time to exit an interval of general diffusion processes subject to random delta function impulses. Exact solutions are found for the mean first passage time for Brownian motion. Other special cases, detailed in the text, can