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Methodology And Computing In Applied Probability
, Volume 4, Issue 4, pp 337357
Langevin Diffusions and MetropolisHastings Algorithms
 G. O. RobertsAffiliated withDepartment of Mathematics and Statistics, Lancaster University
 , O. StramerAffiliated withDepartment of Statistics and Actuarial Science, University of Iowa
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We consider a class of Langevin diffusions with statedependent 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.
MCMC
Langevin diffusions and algorithms
 Title
 Langevin Diffusions and MetropolisHastings Algorithms
 Journal

Methodology And Computing In Applied Probability
Volume 4, Issue 4 , pp 337357
 Cover Date
 200212
 DOI
 10.1023/A:1023562417138
 Print ISSN
 13875841
 Online ISSN
 15737713
 Publisher
 Kluwer Academic Publishers
 Additional Links
 Topics
 Keywords

 MCMC
 Langevin diffusions and algorithms
 Industry Sectors
 Authors

 G. O. Roberts ^{(1)}
 O. Stramer ^{(2)}
 Author Affiliations

 1. Department of Mathematics and Statistics, Lancaster University, Lancaster, LA1 4YF, England
 2. Department of Statistics and Actuarial Science, University of Iowa, Iowa City, IA, 52242, USA