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

DOI10.1080/17442508.2021.1873341MaRDI QIDQ5086727zbMATH OpenOpenAlexFDO

Authors Ting Wang, Muruhan Rathinam

Publication date 7 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1807.09935

zbMATH Keywords

chemical reaction networksexponential integrabilityGirsanov transformationsensitivity analysis

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Continuous-time Markov processes on discrete state spaces (60J27) Classical flows, reactions, etc. in chemistry (92E20)

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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Cites work

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Cited in

(4)

• Efficiency of the Girsanov transformation approach for parametric sensitivity analysis of stochastic chemical kinetics
• Sensitivity of Steady States in Networks with Application to Markov Chains and Chemical Reaction Networks
• Unbiased estimation of second-order parameter sensitivities for stochastic reaction networks
• Sensitivity analysis for stochastic chemical reaction networks with multiple time-scales

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