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On the validity of the Girsanov transformation method for sensitivity analysis of stochastic chemical reaction networks
Stochastics ( IF 0.9 ) Pub Date : 2021-01-20 , DOI: 10.1080/17442508.2021.1873341
Ting Wang 1 , Muruhan Rathinam 2
Affiliation  

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.



中文翻译:

用于随机化学反应网络敏感性分析的 Girsanov 变换方法的有效性

我们研究了用于化学反应网络随机模型参数敏感性分析的 Girsanov 变换 (GT) 方法的有效性。有效性取决于似然比过程是一个鞅和某个导数与期望的对易。我们推导出一些指数可积性条件,这意味着这两个要求。我们根据反应网络提供了进一步的条件,这意味着这些指数可积分条件。

更新日期:2021-01-20
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