Stochastic Equations for Complex Systems pp 105-124

Part of the Mathematical Engineering book series (MATHENGIN) | Cite as

Pathwise Sensitivity Analysis in Transient Regimes

  • Georgios Arampatzis
  • Markos A. Katsoulakis
  • Yannis Pantazis
Chapter

Abstract

The instantaneous relative entropy (IRE) and the corresponding instantaneous Fisher information matrix (IFIM) for transient stochastic processes are presented in this paper. These novel tools for sensitivity analysis of stochastic models serve as an extension of the well known relative entropy rate (RER) and the corresponding Fisher information matrix (FIM) that apply to stationary processes. Three cases are studied here, discrete-time Markov chains, continuous-time Markov chains and stochastic differential equations. A biological reaction network is presented as a demonstration numerical example.

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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  • Georgios Arampatzis
    • 1
  • Markos A. Katsoulakis
    • 1
  • Yannis Pantazis
    • 1
  1. 1.Department of Mathematics and StatisticsUniversity of MassachusettsAmherstUSA

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