Stability of partially implicit Langevin schemes and their MCMC variants
DOI10.1007/S11009-010-9196-5zbMATH Open1248.60080OpenAlexW2032614101MaRDI QIDQ429995FDOQ429995
Authors: Bruno Casella, O. Stramer, 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
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Cites Work
- Exponential convergence of Langevin distributions and their discrete approximations
- Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
- Rates of convergence of the Hastings and Metropolis algorithms
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Title not available (Why is that?)
- A factorisation of diffusion measure and finite sample path constructions
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
- MCMC METHODS FOR DIFFUSION BRIDGES
- Langevin-type models II: Self-targeting candidates for MCMC algorithms
- Geometric ergodicity of discrete-time approximations to multivariate diffusions
- Estimation for nonlinear stochastic differential equations by a local linearization method1
Cited In (6)
- Langevin diffusions and Metropolis-Hastings algorithms
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- Stability of sequential Monte Carlo samplers via the Foster-Lyapunov condition
- Weak backward error analysis for overdamped Langevin processes
- A patch that imparts unconditional stability to explicit integrators for Langevin-like equations
- Proximal Markov chain Monte Carlo algorithms
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