39 citations · 151 across the 12 of their papers we have counts for
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math.NA2015★ 13 cited
Efficient estimators for likelihood ratio sensitivity indices of complex stochastic dynamics
Georgios Arampatzis, Markos A. Katsoulakis, Luc Rey-Bellet
We demonstrate that centered likelihood ratio estimators for the sensitivity indices of complex stochastic dynamics are highly efficient with low, constant in time variance and con…
math.PR2015
Pathwise Sensitivity Analysis in Transient Regimes
Georgios Arampatzis, Markos A. Katsoulakis, Yannis Pantazis
The instantaneous relative entropy (IRE) and the corresponding instanta- neous Fisher information matrix (IFIM) for transient stochastic processes are pre- sented in this paper. Th…