English

Sensitivity analysis of one parameter semigroups exemplified by the Wright--Fisher diffusion

Functional Analysis 2011-10-27 v2 Analysis of PDEs Probability

Abstract

We consider the sensitivity, with respect to a parameter \theta, of parametric families of operators A_{\theta}, vectors \pi_{\theta} corresponding to the adjoints A_{\theta}^{*} of A_{\theta} via A_{\theta}^{*}\pi_{\theta}=0 and one parameter semigroups t\mapsto e^{tA_{\theta}}. We display formulas relating weak differentiability of \theta\mapsto \pi_{\theta} (at \theta=0) to weak differentiability of \theta\mapsto A_{\theta}^{*}\pi_{0} and [e^{A_{\theta}t}]^{*}\pi_{0}. We give two applications: The first one concerns the sensitivity of the Ornstein--Uhlenbeck process with respect to its location parameter. The second one provides new insights regarding the Wright--Fisher diffusion for small mutation parameter.

Cite

@article{arxiv.1104.1876,
  title  = {Sensitivity analysis of one parameter semigroups exemplified by the Wright--Fisher diffusion},
  author = {Peter Pfaffelhuber and Heinz Weisshaupt},
  journal= {arXiv preprint arXiv:1104.1876},
  year   = {2011}
}
R2 v1 2026-06-21T17:52:12.539Z