Stability of partially implicit Langevin schemes and their MCMC variants

DOI10.1007/S11009-010-9196-5zbMath1248.60080OpenAlexW2032614101MaRDI QIDQ429995

Osnat Stramer, Bruno Casella, Gareth O. Roberts

Publication date: 20 June 2012

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/95220/1/MPRA_paper_95220.pdf

zbMATH Keywords

ergodicityLangevin equationMetropolis-Hastings algorithmtime discretizationpartially implicit methods

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Proximal Markov chain Monte Carlo algorithms ⋮ Unnamed Item

Cites Work

• Unnamed Item
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• Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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