Markov chain simulation for multilevel Monte Carlo

DOI10.3934/fods.2021004zbMath1478.65006arXiv1806.09754OpenAlexW3128651587MaRDI QIDQ2069944

Ajay Jasra, Kody J. H. Law, Yaxian Xu

Publication date: 21 January 2022

Published in: Foundations of Data Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.09754

zbMATH Keywords

Markov chain Monte CarloBayesian inverse problemsmultilevel Monte Carlo

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Unbiased Estimation Using Underdamped Langevin Dynamics ⋮ On Unbiased Estimation for Discretized Models

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