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

TL;DR

This paper analyzes how small changes in parameters affect certain operator semigroups, with applications to the Ornstein-Uhlenbeck process and Wright-Fisher diffusion, providing formulas and new insights into their sensitivities.

Contribution

It establishes formulas linking parameter sensitivity of semigroup operators and their adjoints, with applications to stochastic processes like Wright-Fisher diffusion.

Findings

Derived formulas relating weak differentiability of operators and their adjoints.

Applied sensitivity analysis to Ornstein-Uhlenbeck process.

Provided new insights into Wright-Fisher diffusion for small mutation parameters.

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.