[02305] Simulating First Passage Times for Ito Diffusions
Session Time & Room : 2D (Aug.22, 15:30-17:10) @E506
Type : Contributed Talk
Abstract : We are interested in the mechanism of olfactory receptor neuron responses in moths. A neuron's processing of information is represented by spike trains, collections of spikes, short and precisely shaped electrical impulses. Mathematically, these can be modeled as the first passage times of solutions to certain stochastic differential equations, describing the membrane voltage, to a threshold. Classical numerical methods like the Euler-Maruyama method and the Milstein scheme approximate hitting times as a ‘by-product’ and are not very good if we perform them on a large interval of time. For that reason, we study an algorithm that simulates the exact discretized grid of a class of stochastic differential equations. It uses an acceptance-rejection scheme for the simulation of that grid at random time intervals; later, the whole path can be completed independently of the target process by interpolation of the Brownian or Bessel bridge. This method is very effective in the sense that it neither simulates the whole path nor focuses on a fixed time interval. We further examine the different numerical methods with the help of an example.
