MathematicsComputer SciencePhysics

Langevin Diffusions and Metropolis-Hastings Algorithms

G. Roberts, O. Stramer

2002.12.1METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY

DOI: 10.1023/a:1023562417138

tlooto Summary

This work considers a class of Langevin diffusions with state-dependent volatility, constructed from discretisations of the algorithms constructed by Hastings accept reject mechanisms, and the properties of these algorithms are investigated.

Abstract

Abstract is not available.

Citation format

ROBERTS, G.; STRAMER, O. Langevin diffusions and metropolis-hastings algorithms. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2002, 4: 337–357.