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

Ting Wang, Muruhan Rathinam

Published 2018-07-26Version 1

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.