Approximation of heavy-tailed distributions via stable-driven SDEs (Q2040106)
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scientific article; zbMATH DE number 7370737
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| English | Approximation of heavy-tailed distributions via stable-driven SDEs |
scientific article; zbMATH DE number 7370737 |
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Approximation of heavy-tailed distributions via stable-driven SDEs (English)
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9 July 2021
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Heavy-tailed distributions have been found to be very useful in many applications. Yet related sampling algorithms may perform poorly. In this paper, the authors provide a rigorous theoretical framework for studying the problem of approximating heavy-tailed distributions via ergodic SDEs driven by rotationally invariant \(\alpha\)-stable processes.
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approximate sampling
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fractional Langevin Monte Carlo
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heavy-tailed distributions
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0.7098878026008606
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0.7095400094985962
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