%0 Journal Article %1 20db2c27fa7b445e8b652bf2e17af642 %A Oechsler, David %D 2023 %I Springer, Dordrecht u. a. %J Statistics and Computing %K Carlo, FIS_scads Invariant Langevin Limiting L{\'e}vy Monte Stochastic differential distributions, equations processes, yaff %N 1 %R 10.1007/s11222-023-10345-w %T Lévy Langevin Monte Carlo %V 34 (2024) %X 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.

@article{20db2c27fa7b445e8b652bf2e17af642, abstract = {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 L{\'e}vy 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.}, added-at = {2024-11-28T16:27:18.000+0100}, author = {Oechsler, David}, biburl = {https://puma.scadsai.uni-leipzig.de/bibtex/299e0fb706154b5bd080597286166e05b/scadsfct}, day = 10, doi = {10.1007/s11222-023-10345-w}, interhash = {211406f48877e40877da47fb6f1e9d60}, intrahash = {99e0fb706154b5bd080597286166e05b}, issn = {0960-3174}, journal = {Statistics and Computing}, keywords = {Carlo, FIS_scads Invariant Langevin Limiting L{\'e}vy Monte Stochastic differential distributions, equations processes, yaff}, language = {English}, month = nov, note = {Publisher Copyright: {\textcopyright} 2023, The Author(s).}, number = 1, publisher = {Springer, Dordrecht [u. a.]}, timestamp = {2025-04-02T14:01:42.000+0200}, title = {L{\'e}vy Langevin Monte Carlo}, volume = {34 (2024)}, year = 2023 }