The use of stochastic models, in effect piecewise deterministic Markov processes (PDMP), has become increasingly popular especially for the modeling of chemical reactions and cell biophysics. Yet, exact simulation methods, for the simulation of these models in evolving environments, are limited by the need to find the next jumping time at each recursion of the algorithm. Here, we report on a new general method to find this jumping time for the True Jump Method. It is based on an expression in terms of ordinary differential equations for which efficient numerical methods are available. As such, our new result makes it possible to study numerically stochastic models for which analytical formulas are not available thereby providing a way to approximate the state distribution for example. We conclude that the wide use of event detection schemes for the simulation of PDMPs should be strongly reconsidered. The only relevant remaining question being the efficiency of our method compared to the Fictitious Jump Method, question which is strongly case dependent.
Reference
@article{veltz_new_2015,
author = "R. Veltz",
title = "A new twist for the simulation of hybrid systems using the true jump method",
year = 2015,
journal = "arXiv [math]",
month = "Apr",
keywords = "mathematics - numerical analysis",
url = "http://arxiv.org/abs/1504.06873"
}
