Markov Chain Monte Carlo and Numerical Differential Equations
DOI10.1007/978-3-319-01300-8_2zbMath1318.65007OpenAlexW12587120MaRDI QIDQ5261579
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
numerical exampleFokker-Planck equationstochastic differential equationsnumerical experimentHamiltonian dynamicsMarkov chain Monte Carlo methodsMetropolis adjusted Langevin algorithmMetropolis random-walk algorithm
Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical analysis or methods applied to Markov chains (65C40) Ordinary differential equations and systems with randomness (34F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) 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) Fokker-Planck equations (35Q84)
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