THINNING AND MULTILEVEL MONTE CARLO METHODS FOR PIECEWISE DETERMINISTIC (MARKOV) PROCESSES WITH AN APPLICATION TOA STOCHASTIC MORRIS-LECAR MODEL

摘要

In the first part of this paper we study approximations of trajectories of piecewise deterministic processes (PDPs) when the flow is not given explicitly by the thinning method. We also establish a strong error estimate for PDPs as well as a weak error expansion for piecewise deterministic Markov processes (PDMPs). These estimates are the building blocks of the multilevel Monte Carlo (MLMC) method, which we study in the second part. The coupling required by the MLMC is based on the thinning procedure. In the third part we apply these results to a two-dimensional Morris-Lecar model with stochastic ion channels. In the range of our simulations the MLMC estimator outperforms classical Monte Carlo.