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Hitting Time and Convergence Rate Bounds for Symmetric Langevin Diffusions

Author

Listed:
  • Gareth O. Roberts

    (University of Warwick)

  • Jeffrey S. Rosenthal

    (University of Toronto)

Abstract

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

Suggested Citation

  • Gareth O. Roberts & Jeffrey S. Rosenthal, 2019. "Hitting Time and Convergence Rate Bounds for Symmetric Langevin Diffusions," Methodology and Computing in Applied Probability, Springer, vol. 21(3), pages 921-929, September.
    • Handle: RePEc:spr:metcap:v:21:y:2019:i:3:d:10.1007_s11009-017-9567-2
    DOI: 10.1007/s11009-017-9567-2
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    References listed on IDEAS

    as
    1. Roberts, G. O. & Tweedie, R. L., 1999. "Bounds on regeneration times and convergence rates for Markov chains," Stochastic Processes and their Applications, Elsevier, vol. 80(2), pages 211-229, April.
    2. Etheridge,Alison, 2002. "A Course in Financial Calculus," Cambridge Books, Cambridge University Press, number 9780521890779.
    3. Robert B. Lund & Richard L. Tweedie, 1996. "Geometric Convergence Rates for Stochastically Ordered Markov Chains," Mathematics of Operations Research, INFORMS, vol. 21(1), pages 182-194, February.
    4. Etheridge,Alison, 2002. "A Course in Financial Calculus," Cambridge Books, Cambridge University Press, number 9780521813853.
    Full references (including those not matched with items on IDEAS)

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