On the Validity of the Girsanov Transformation Method for Sensitivity Analysis of Stochastic Chemical Reaction Networks
| dc.contributor.author | Wang, Ting | |
| dc.contributor.author | Rathinam, Muruhan | |
| dc.date.accessioned | 2018-09-13T19:51:41Z | |
| dc.date.available | 2018-09-13T19:51:41Z | |
| dc.description.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. | en_US |
| dc.description.uri | https://arxiv.org/abs/1807.09935 | en_US |
| dc.format.extent | 13 pages | en_US |
| dc.genre | journal articles preprints | en_US |
| dc.identifier | doi:10.13016/M2707WS11 | |
| dc.identifier.uri | http://hdl.handle.net/11603/11298 | |
| dc.language.iso | en_US | en_US |
| dc.relation.isAvailableAt | The University of Maryland, Baltimore County (UMBC) | |
| dc.relation.ispartof | UMBC Mathematics Department Collection | |
| dc.relation.ispartof | UMBC Faculty Collection | |
| dc.rights | 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. | |
| dc.subject | Girsanov transformation | en_US |
| dc.subject | sensitivity analysis | en_US |
| dc.subject | chemical reaction networks | en_US |
| dc.subject | exponential integrability | en_US |
| dc.title | On the Validity of the Girsanov Transformation Method for Sensitivity Analysis of Stochastic Chemical Reaction Networks | en_US |
| dc.type | Text | en_US |