This paper establishes a new version of integration by parts formula of Markov chains for sensitivity computation, under much lower restrictions than the existing researches. Our approach is more fundamental and applicable without using Girsanov theorem or Malliavin calculus as did by past papers. Numerically, we apply this formula to compute sensitivity regarding the transition rate matrix and compare with a recent research by an IPA (infinitesimal perturbation analysis) method and other approaches.

中文翻译：

---

零件公式对马尔可夫积分的改进及其在灵敏度计算中的应用

本文建立了一种新版本的马尔可夫链分部积分公式，用于灵敏度计算，其限制远低于现有研究。我们的方法更加基础和适用，无需像过去的论文那样使用 Girsanov 定理或 Malliavin 演算。在数值上，我们应用这个公式来计算关于转换率矩阵的灵敏度，并与最近通过 IPA（无穷小扰动分析）方法和其他方法进行的研究进行比较。