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Under some weak conditions, the first-passage time of the Brownian motion to a continuous curved boundary is an almost surely finite stopping time. Its probability density function (pdf) is explicitly known only in few particular cases. Several mathematical studies proposed to approximate the pdf in a quite general framework or even to simulate this hitting time using a discrete time approximation of the Brownian motion. The authors study a new algorithm which permits one to simulate the first-passage time using an iterating procedure. The convergence rate presented in this paper suggests that the method is very efficient. [ABSTRACT FROM AUTHOR]

We discuss the construction and approximation of solutions to a nonlinear McKean–Vlasov equation driven by a singular self-excitatory interaction of the mean-field type. Such an equation is intended to describe an infinite population of neurons which interact with one another. Each time a proportion of neurons ‘spike’, the whole network instantaneously receives an excitatory kick. The instantaneous nature of the excitation makes the system singular and prevents the application of standard results from the literature. Making use of the Skorohod M1 topology, we prove that, for the right notion of a ‘physical’ solution, the nonlinear equation can be approximated either by a finite particle system or by a delayed equation. As a by-product, we obtain the existence of ‘synchronized’ solutions, for which a macroscopic proportion of neurons may spike at the same time. [ABSTRACT FROM AUTHOR]