Lévy Langevin Monte Carlo

DOI10.1007/s11222-023-10345-wzbMath1529.62028arXiv2303.07743OpenAlexW4388552266MaRDI QIDQ6190659

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Publication date: 6 February 2024

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2303.07743

zbMATH Keywords

Lévy processesstochastic differential equationslimiting distributionsinvariant distributionsLangevin Monte Carlo

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Computational methods for problems pertaining to statistics (62-08) Stationary stochastic processes (60G10) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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• Solutions of Lévy-driven SDEs with unbounded coefficients as Feller processes
• Ergodicity of supercritical SDEs driven by \(\alpha \)-stable processes and heavy-tailed sampling

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