Efficient stochastic sensitivity analysis of discrete event systems

DOI10.1016/j.jcp.2006.06.047zbMath1107.65301DBLPjournals/jcphy/PlyasunovA07OpenAlexW2047149512WikidataQ57022519 ScholiaQ57022519MaRDI QIDQ870582

Adam P. Arkin, Sergey Plyasunov

Publication date: 13 March 2007

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2006.06.047

zbMATH Keywords

finite difference methodnumerical examplesjump processesGirsanov transformationkinetic Monte Carlo methodparameter sensitivity analysisstochastic chemical systemsstochastic dynamics of reaction networks

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Related Items (16)

Parameter estimation in flow through partially saturated porous materials ⋮ Efficiency of the Girsanov Transformation Approach for Parametric Sensitivity Analysis of Stochastic Chemical Kinetics ⋮ Parameter sensitivity analysis for biochemical reaction networks ⋮ On the validity of the Girsanov transformation method for sensitivity analysis of stochastic chemical reaction networks ⋮ Efficient Computation of Sobol' Indices for Stochastic Models ⋮ Nonparametric inference of stochastic differential equations based on the relative entropy rate ⋮ Steady-State Sensitivity Analysis of Continuous Time Markov Chains ⋮ A class of exact solutions for biomacromolecule diffusion-reaction in live cells ⋮ Variance of Finite Difference Methods for Reaction Networks with Non-Lipschitz Rate Functions ⋮ Efficient finite-difference method for computing sensitivities of biochemical reactions ⋮ Estimation of Parameter Sensitivities for Stochastic Reaction Networks Using Tau-Leap Simulations ⋮ Stochastic sensitivity analysis using preconditioning approach ⋮ Path-Space Information Bounds for Uncertainty Quantification and Sensitivity Analysis of Stochastic Dynamics ⋮ Markovian dynamics on complex reaction networks ⋮ Sensitivity analysis for multiscale stochastic reaction networks using hybrid approximations ⋮ Quantification of model uncertainty on path-spaceviagoal-oriented relative entropy

Uses Software

• STCT
• BuDDy

Cites Work

• Higher-order implicit strong numerical schemes for stochastic differential equations
• Convergence rates for steady-state derivative estimators
• Monte Carlo methods for security pricing
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Estimating Security Price Derivatives Using Simulation
• Handbook of stochastic methods for physics, chemistry and natural sciences.
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