Markov chain Monte Carlo and numerical differential equations

DOI10.1007/978-3-319-01300-8_2zbMATH Open1318.65007OpenAlexW12587120MaRDI QIDQ5261579FDOQ5261579

Authors Jesús María Sanz-Serna 

Publication date 6 July 2015

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-01300-8_2

zbMATH Keywords

Markov chain Monte Carlo methodsFokker-Planck equationnumerical examplenumerical experimentstochastic differential equationsHamiltonian dynamicsMetropolis adjusted Langevin algorithmMetropolis random-walk algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Fokker-Planck equations (35Q84) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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• Palindromic 3-stage splitting integrators, a roadmap
• Gaussian processes for Bayesian inverse problems associated with linear partial differential equations
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• Numerical Methods in Markov Chain Modeling
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