Langevin Diffusions and Metropolis-Hastings Algorithms
- Cite this article as:
- Roberts, G.O. & Stramer, O. Methodology and Computing in Applied Probability (2002) 4: 337. doi:10.1023/A:1023562417138
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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.