On the Validity of the Girsanov Transformation Method for Sensitivity Analysis of Stochastic Chemical Reaction Networks

Ting Wang; Muruhan Rathinam

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arXiv · 1807.09935

On the Validity of the Girsanov Transformation Method for Sensitivity Analysis of Stochastic Chemical Reaction Networks

Ting Wang·Muruhan Rathinam

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Abstract

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.

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Ting Wang, Muruhan Rathinam. 2018-07-26. On the Validity of the Girsanov Transformation Method for Sensitivity Analysis of Stochastic Chemical Reaction Networks. https://arxiv.org/abs/1807.09935

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