An Efficient Finite Difference Method for Parameter Sensitivities of Continuous Time Markov Chains

DOI10.1137/110849079zbMath1264.60050arXiv1109.2890OpenAlexW2067210175MaRDI QIDQ4903756

Publication date: 24 January 2013

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.2890

zbMATH Keywords

finite differences random time change continuous-time Markov chain Gillespie algorithm parameter sensitivities next reaction method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Biochemistry, molecular biology (92C40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Continuous-time Markov processes on discrete state spaces (60J27)

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