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

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1807.09935.pdf (169.44 KB)

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https://arxiv.org/abs/1807.09935

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http://hdl.handle.net/11603/11298

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UMBC Mathematics and Statistics Department
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This item may be protected under Title 17 of the U.S. Copyright Law. It is made available by UMBC for non-commercial research and education. For permission to publish or reproduce, please contact the author.

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Girsanov transformation
sensitivity analysis
chemical reaction networks
exponential integrability

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.