Langevin Diffusions and Metropolis-Hastings Algorithms.

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 1387-5841

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Abstract

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.

Item Type:
Journal Article
Journal or Publication Title:
Methodology and Computing in Applied Probability
Uncontrolled Keywords:
/dk/atira/pure/researchoutput/libraryofcongress/qa
Subjects:
ID Code:
81968
Deposited By:
Deposited On:
09 Dec 2016 15:00
Refereed?:
Yes
Published?:
Published
Last Modified:
23 Sep 2020 00:11