First-Passage Time for PDifMPs: An Asymptotically Exact Simulation Approach for Time-Varying Thresholds
Piecewise diffusion Markov processes (PDifMPs) are valuable for modelling systems where continuous dynamics are interrupted by sudden shifts and/or changes in drift and diffusion. The first-passage time (FPT) in such models plays a central role in understanding when a process first reaches a critical boundary. In many...