• Corpus ID: 244773212

Martingale product estimators for sensitivity analysis in computational statistical physics

@article{Plech2021MartingalePE,
  title={Martingale product estimators for sensitivity analysis in computational statistical physics},
  author={Petr Plech{\'a}{\vc} and Gabriel Stoltz and Ting Wang},
  journal={ArXiv},
  year={2021},
  volume={abs/2112.00126}
}
We introduce a new class of estimators for the linear response of steady states of stochastic dynamics. We generalize the likelihood ratio approach and formulate the linear response as a product of two martingales, hence the name ”martingale product estimators”. We present a systematic derivation of the martingale product estimator, and show how to construct such estimator so its bias is consistent with the weak order of the numerical scheme that approximates the underlying stochastic… 

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