Hitting Time and Convergence Rate Bounds for Symmetric Langevin Diffusions

Gareth O. Roberts () and Jeffrey S. Rosenthal ()
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Gareth O. Roberts: University of Warwick
Jeffrey S. Rosenthal: University of Toronto

Methodology and Computing in Applied Probability, 2019, vol. 21, issue 3, 921-929

Abstract: Abstract We provide quantitative bounds on the convergence to stationarity of real-valued Langevin diffusions with symmetric target densities.

Keywords: Langevin diffusion; Computable bounds; Coupling; Stochastic monotonicity; Primary: 60J70; Secondary: 60J60; 60J25 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s11009-017-9567-2

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