Langevin diffusions and Metropolis-Hastings algorithms

DOI10.1023/A:1023562417138zbMath1033.65003MaRDI QIDQ1398011

Gareth O. Roberts, Osnat Stramer

Publication date: 6 August 2003

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

zbMATH Keywords

algorithms; stability; stochastic differential equation; robustness; numerical examples; Metropolis-Hastings algorithm; Euler discretization; Markov chain Monte Carlo technique; Langevin diffusions; Ozaki discretization

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

65C05: Monte Carlo methods

65C40: Numerical analysis or methods applied to Markov chains

60J60: Diffusion processes

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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