Langevin Diffusions and Metropolis-Hastings Algorithms

G. O. Roberts and O. Stramer
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G. O. Roberts: Lancaster University
O. Stramer: University of Iowa

Methodology and Computing in Applied Probability, 2002, vol. 4, issue 4, 337-357

Abstract: 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.

Keywords: MCMC; Langevin diffusions and algorithms (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (9)

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DOI: 10.1023/A:1023562417138

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