Stability of partially implicit Langevin schemes and their MCMC variants

DOI10.1007/S11009-010-9196-5MaRDI QIDQ429995zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

ergodicityMetropolis-Hastings algorithmtime discretizationLangevin equationpartially implicit methods

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• scientific article; zbMATH DE number 979834 (Why is no real title available?)
• A factorisation of diffusion measure and finite sample path constructions
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• Exponential convergence of Langevin distributions and their discrete approximations
• Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
• Geometric ergodicity of discrete-time approximations to multivariate diffusions
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Langevin-type models II: Self-targeting candidates for MCMC algorithms
• MCMC METHODS FOR DIFFUSION BRIDGES
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Rates of convergence of the Hastings and Metropolis algorithms
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations

Cited in

(7)

• Langevin diffusions and Metropolis-Hastings algorithms
• scientific article; zbMATH DE number 7415079 (Why is no real title available?)
• Stability of sequential Monte Carlo samplers via the Foster-Lyapunov condition
• Weak backward error analysis for overdamped Langevin processes
• Weak backward error analysis for Langevin process
• A patch that imparts unconditional stability to explicit integrators for Langevin-like equations
• Proximal Markov chain Monte Carlo algorithms

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