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most citedA Relative Entropy Rate Method for Path Space Sensitivity Analysis of Stationary Complex Stochastic Dynamics

40 citations · 115 across the 23 of their papers we have counts for

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math-ph2012★ 40 cited

A Relative Entropy Rate Method for Path Space Sensitivity Analysis of Stationary Complex Stochastic Dynamics

Yannis Pantazis, Markos A. Katsoulakis

We propose a new sensitivity analysis methodology for complex stochastic dynamics based on the Relative Entropy Rate. The method becomes computationally feasible at the stationary…

math.NA2012★ 5 cited

Measuring the Irreversibility of Numerical Schemes for Reversible Stochastic Differential Equations

Markos Katsoulakis, Yannis Pantazis, Luc Rey-Bellet

For a Markov process the detailed balance condition is equivalent to the time-reversibility of the process. For stochastic differential equations (SDE's) time discretization numeri…