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math.PR2018
Thinning and Multilevel Monte Carlo for Piecewise Deterministic (Markov) Processes. Application to a stochastic Morris-Lecar model
Vincent Lemaire, Michèle Thieullen, Nicolas Thomas
In the first part of this paper we study approximations of trajectories of Piecewise Deter-ministic Processes (PDP) when the flow is not explicit by the thinning method. We also es…
math.PR2016★ 24 cited
Exact simulation of the jump times of a class of Piecewise Deterministic Markov Processes
Vincent Lemaire, Michèle Thieullen, Nicolas Thomas
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 dependi…