Stability of partially implicit Langevin schemes and their MCMC variants
From MaRDI portal
Publication:429995
DOI10.1007/s11009-010-9196-5zbMath1248.60080MaRDI QIDQ429995
Osnat Stramer, Bruno Casella, Gareth O. Roberts
Publication date: 20 June 2012
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/95220/1/MPRA_paper_95220.pdf
ergodicity; Langevin equation; Metropolis-Hastings algorithm; time discretization; partially implicit methods
60J22: Computational methods in Markov chains
65C05: Monte Carlo methods
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
Related Items
Cites Work
- Unnamed Item
- A factorisation of diffusion measure and finite sample path constructions
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Exponential convergence of Langevin distributions and their discrete approximations
- Geometric ergodicity of discrete-time approximations to multivariate diffusions
- Rates of convergence of the Hastings and Metropolis algorithms
- Langevin-type models II: Self-targeting candidates for MCMC algorithms
- Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
- MCMC METHODS FOR DIFFUSION BRIDGES
- Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
- Estimation for nonlinear stochastic differential equations by a local linearization method1
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations