Sleep paralysis hallucinations are a mixture of changes in neurotransmission and sensory deprivation. The brain operates via series of feedback loops that serve to check what stimulated receptors are reporting to be happening and what you expect be happening, and what you expect to happen next. They serve to "filter out" erroneous stimulation data and any "noise" (hallucinations or sensory disturbances). When your senses are deprived, these loops start to destabilize, and eventually decouple altogether. Decoupling refers to sensory information processing neurons and sensory associating neurons unlinking, so to speak. When this happens, the brain still operates the same way it does when you are taking in sensory information and tries to form a model for reality, but without data to go off of, it simply fills in its own from memory. It can take as little as 15 minutes for decoupling of the sense to occur. So if you lie down with your eyes closed, for instance, for 15 to 30 minutes, but remain consciously aware, you will begin to get hypnogagic hallucinations.
The other factor in hallucinating during SP, as I mentioned, is due to changes in neurotransmission. Your mind communicates with the body via acetylcholine at muscular junctions. When you go into REM atonia (sleep paralysis you are not consciously aware during), your mind severs this connection, which in turn paralyzes you. Neurotransmitters associated with the wakefulness promotion such as serotonin, histamine, and norepinephrine begin to stop being released by neurons into the synaptic cleft (firing of a neuron), and those neurons go silent. Dopamine, acetylcholine in certain areas of the brain and during certain phases of sleep, and neurotransmitters that are associated with sleep promotion like GABA and galanin are in higher numbers. In the case of dopamine specifically, it a neurotransmitter typically regulated by serotonin and norephinephrine, and since those neurotransmitters have ceased firing or are doing so in much lesser numbers, something called disinhibition occurs. This means dopamine that normally doesn't fire in certain areas of the brain fire, and even in some areas it would, it does not. These altered dopamine levels increase positive schizophrenic-like symptoms such as hallucinations and delusional thoughts, but sees none of the negative symptoms (catatonia, inability to feel emotion, expressionless faces) because the increased dopamine due to disinhibtion is not taking place as the dopamine that would be firing in the other areas if other neurotransmitters like serotonin and norepinephrine were still firing. So, the lack of activity in those regions means that the negative symptoms are nonexistent.
Acetylcholine gets its own little explanation down here. There are two main acetylcholine receptor types, nicotinic and muscarinic. They are called this because nicotinic receptors are selectively agonized (activated) by nicotine, and muscarinic receptors are selectively agonized by muscarine. Anticholinergic drugs are drugs that block muscarinic acetylcholine receptors from being activated, it's a muscarinic acetylcholine antagonist. These drugs cause hallucinations indistinguishable from reality, delusions, delirium, the inability to focus, heavy limbs, ataxia (the inability to control limb movements due to disrupted neuronal firing), terrible short term memory loss, feelings of a presence in the room, panic, terror, and a sense of impending doom. Sound familiar? During REM Atonia/Sleep Paralysis, you are unable to move your limbs, often it is accompanied by a sense that something is in the room with you, sometimes you see demons or hags, and you can feel sheer terror.
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