An asymptotic relationship between coupling methods for stochastically modeled population processes

Abstract

This paper is concerned with elucidating a relationship between two common coupling methods for the continuous time Markov chain models utilized in the cell biology literature. The couplings considered here are primarily used in a computational framework by providing reductions in variance for dierent Monte Carlo estimators, thereby allowing for signicantly more accurate results for a xed amount of computational time. Common applications of the couplings include the estimation of parametric sensitivities via nite dierence methods and the estimation of expectations via multi-level Monte Carlo algorithms. While a number of coupling strategies have been proposed for the models considered here, and a number of articles have experimentally compared the dierent strategies, to date there has been no mathematical analysis describing the connections between them. Such analyses are critical in order to determine the best use for each. In the current paper, we show a connection between the common reaction path (CRP) method and the split coupling (SC) method, which is termed coupled nite dierences (CFD) in the parametric sensitivities literature. In particular, we show that the two couplings are both limits of a third coupling strategy we call the \local-CRP coupling, with the split coupling method arising as a key parameter goes to innity, and the common reaction path coupling arising as the same parameter goes to zero. The analysis helps explain why the split coupling method often provides a lower variance than does the common reaction path method, a fact previously shown experimentally.