Roberts, G. O. and Stramer, O. (2002) Langevin Diffusions and Metropolis-Hastings Algorithms. Methodology and Computing in Applied Probability, 4 (4). pp. 337-358. ISSN 1387-5841Full text not available from this repository.
We consider a class of Langevin diffusions with state-dependent volatility. The volatility of the diffusion is chosen so as to make the stationary distribution of the diffusion with respect to its natural clock, a heated version of the stationary density of interest. The motivation behind this construction is the desire to construct uniformly ergodic diffusions with required stationary densities. Discrete time algorithms constructed by Hastings accept reject mechanisms are constructed from discretisations of the algorithms, and the properties of these algorithms are investigated.
|Journal or Publication Title:||Methodology and Computing in Applied Probability|
|Subjects:||Q Science > QA Mathematics|
|Departments:||Faculty of Science and Technology > Lancaster Environment Centre|
|Deposited By:||Mrs Yaling Zhang|
|Deposited On:||26 Jun 2008 09:30|
|Last Modified:||03 Nov 2015 13:36|
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