On the validity of the Girsanov transformation method for sensitivity analysis of stochastic chemical reaction networks

被引：0

作者：

Wang, Ting ^{[1
]}

Rathinam, Muruhan ^{[2
]}

机构：

[1] Univ Delaware, Dept Math Sci, Newark, DE 19716 USA

[2] Univ Maryland Baltimore Cty, Dept Math & Stat, Baltimore, MD 21228 USA

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2021年 / 93卷 / 08期

关键词：

Girsanov transformation; sensitivity analysis; chemical reaction networks; exponential integrability;

D O I：

10.1080/17442508.2021.1873341

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We investigate the validity of the Girsanov Transformation (GT) method for parametric sensitivity analysis of stochastic models of chemical reaction networks. The validity depends on the likelihood ratio process being a martingale and the commutation of a certain derivative with expectation. We derive some exponential integrability conditions which imply both these requirements. We provide further conditions in terms of a reaction network that imply these exponential integrability conditions.

引用

页码：1227 / 1248

页数：22

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