Langevin diffusions and Metropolis-Hastings algorithms

DOI10.1023/A:1023562417138zbMath1033.65003OpenAlexW1556278552MaRDI QIDQ1398011

Gareth O. Roberts, Osnat Stramer

Publication date: 6 August 2003

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

Full work available at URL: https://doi.org/10.1023/a:1023562417138

zbMATH Keywords

algorithmsstabilitystochastic differential equationrobustnessnumerical examplesMetropolis-Hastings algorithmEuler discretizationMarkov chain Monte Carlo techniqueLangevin diffusionsOzaki discretization

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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