Fictitious jump methods for time-dependent rates

SciML / JumpProcesses.jl

Build and simulate jump equations like Gillespie simulations and jump diffusions with constant and state-dependent rates and mix with differential equations and scientific machine learning (SciML)

https://docs.sciml.ai/JumpProcesses/stable/

Other

139 stars 35 forks source link

Fictitious jump methods for time-dependent rates #28

Open isaacsas opened 6 years ago

isaacsas commented 6 years ago

There are thinning approaches that allow SSAs to "exactly" handle time-dependent rates by adding a fictitious jump to the system that makes the overall jump rate constant. Perhaps we could add support for one of these methods?

When I have some time I'll poke around for references, but please feel free to post any you might know of.

ChrisRackauckas commented 6 years ago

@rveltz posted https://github.com/JuliaDiffEq/DiffEqJump.jl/issues/7 which links to http://rveltz.github.io/PDMP.jl/latest/ that describes these kinds of methods. We just need to have the VariableRateJump build these kinds of things when requested.