Stability of partially implicit Langevin schemes and their MCMC variants

DOI10.1007/s11009-010-9196-5zbMath1248.60080MaRDI QIDQ429995

Gareth O. Roberts, Bruno Casella, Osnat Stramer

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

zbMATH Keywords

ergodicity; Langevin equation; Metropolis-Hastings algorithm; time discretization; partially implicit methods

Mathematics Subject Classification ID

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

Proximal Markov chain Monte Carlo algorithms

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