AN IMPROVEMENT OF MARKOVIAN INTEGRATION BY PARTS FORMULA AND APPLICATION TO SENSITIVITY COMPUTATION. Issue 2 (April 2022)

• Record Type: Journal Article
• Authors: Liu, Yue; Shi, Zhiyan; Tang, Ying; Yao, Jingjing; Zhu, Xincheng
• Is Part Of: Probability in the engineering and informational sciences. Volume 36:Issue 2(2022)
• Page Start: 357
• Page End: 377
• Publication Date: 2022-04
• Subjects: integration by parts formula -- Markov chains -- sensitivity computation; Probabilities -- Periodicals; Engineering -- Statistical methods -- Periodicals; Information science -- Statistical methods -- Periodicals; 519.202462
• DOI: 10.1017/S0269964820000650
• Languages: English
• ISSNs: 0269-9648

Abstract

Abstract : This paper establishes a new version of integration by parts formula of Markov chains for sensitivity computation, under much lower restrictions than the existing researches. Our approach is more fundamental and applicable without using Girsanov theorem or Malliavin calculus as did by past papers. Numerically, we apply this formula to compute sensitivity regarding the transition rate matrix and compare with a recent research by an IPA (infinitesimal perturbation analysis) method and other approaches.