An efficient finite difference method for parameter sensitivities of continuous time Markov chains

SIAM Journal on Numerical Analysis

Volumn 50, Issue 5, 2012, Pages 2237-2258

  Anderson, David F ^a  

^a UNIVERSITY OF WISCONSIN MADISON   (United States)

Author keywords

Continuous time Markov chain; Finite differences; Gillespie; Martingale; Next reaction method; Parameter sensitivities; Random time change; Variance reduction

Indexed keywords

CONTINUOUS TIME MARKOV CHAIN; FINITE DIFFERENCE; GILLESPIE; MARTINGALE; PARAMETER SENSITIVITIES; REACTION METHOD; TIME CHANGE; VARIANCE REDUCTIONS;

ALGORITHMS; CONTINUOUS TIME SYSTEMS; ESTIMATION; FINITE DIFFERENCE METHOD; STOCHASTIC MODELS;

MARKOV PROCESSES;

EID: 84868348853     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/110849079     Document Type: Article

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