Continuous-Time, Discrete-Event Simulation from Counting Processes

Abstract

This is a method for discrete event simulation specified by survival analysis. It presents a sequence of steps. First, hazard rates from survival analysis specify the rates of a set of counting processes. Second, those counting processes define a transition kernel. Third, there are four different ways to sample that transition kernel, including a first-principles derivation of exact stochastic simulation algorithms (SSA) in continuous time. This simulation allows time-dependent intensities which include both continuous and atomic components. Separating the steps involved makes a clear correspondence between mathematical formulation and algorithmic implementation.