- Titel
- Lévy Langevin Monte Carlo
- Zitierfähige Url:
- https://nbn-resolving.org/urn:nbn:de:bsz:14-qucosa2-958493
- Quellenangabe
- Statistics and computing
Erscheinungsjahr: 2024
Jahrgang: 34
E-ISSN: 1573-1375
Artikelnummer: 37 - Erstveröffentlichung
- 2023
- Abstract (EN)
- Analogously to the well-known Langevin Monte Carlo method, in this article we provide a method to sample from a target distribution π by simulating a solution of a stochastic differential equation. Hereby, the stochastic differential equation is driven by a general Lévy process which—unlike the case of Langevin Monte Carlo—allows for non-smooth targets. Our method will be fully explored in the particular setting of target distributions supported on the half-line (0,∞) and a compound Poisson driving noise. Several illustrative examples conclude the article.
- Andere Ausgabe
- Link zum Artikel, der zuerst in der Zeitschrift 'Statistics and computing' im Verlag Springer Nature erschienen ist.
DOI: 10.1007/s11222-023-10345-w - Freie Schlagwörter (EN)
- Langevin Monte Carlo, Lévy processes, Stochastic differential equations, Invariant distributions, Limiting distributions
- Klassifikation (DDC)
- 004
- 620
- Verlag
- Springer Nature, Berlin
- Version / Begutachtungsstatus
- publizierte Version / Verlagsversion
- URN Qucosa
- urn:nbn:de:bsz:14-qucosa2-958493
- Veröffentlichungsdatum Qucosa
- 05.11.2025
- Dokumenttyp
- Artikel
- Sprache des Dokumentes
- Englisch
- Lizenz / Rechtehinweis
CC BY 4.0