Home > Research > Publications & Outputs > Langevin Diffusions and Metropolis-Hastings Alg...
View graph of relations

Langevin Diffusions and Metropolis-Hastings Algorithms.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Published
  • G. O. Roberts
  • O. Stramer
Close
<mark>Journal publication date</mark>12/2002
<mark>Journal</mark>Methodology and Computing in Applied Probability
Issue number4
Volume4
Number of pages22
Pages (from-to)337-358
Publication StatusPublished
<mark>Original language</mark>English

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.