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

Ting Wang, Muruhan Rathinam

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.