Improved Simulation Techniques for First Exit Time of Neural Diffusion Models

Abstract

We consider the fixed and exponential time-stepping Euler algorithms, with boundary tests, to calculate the mean first exit times (MFET) of two one-dimensional neural diffusion models, represented by the Ornstein–Uhlenbeck (OU) process and a stochastic space-clamped FitzHugh–Nagumo (FHN) system. The numerical methods are described and the convergence rates… (More)
DOI: 10.1080/03610918.2012.755197

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