A Method to Calculate the Exit Time in Stochastic Simulations
For researchers using stochastic simulations, this method offers a potential speedup, but the improvement appears incremental.
The paper presents a method to compute exit times in stochastic simulations using convolution-based approximation, reducing the number of random variates needed. It reports error and speedup analysis compared to the standard stochastic simulation algorithm.
A novel method is presented to compute the exit time for the stochastic simulation algorithm. The method is based on the addition of a series of random variables and is derived using the convolution theorem. The final distribution is derived and approximated in the frequency domain. The distribution for the final time is transformed back to the real domain and can be sampled from in a simulation. The result is an approximation of the classical stochastic simulation algorithm that requires fewer random variates. An analysis of the error and speedup compared to the stochastic simulation algorithm is presented.