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Langevin diffusions and the Metropolis-adjusted Langevin algorithm. (English) Zbl 1298.60081

Summary: We describe a Langevin diffusion with a target stationary density with respect to Lebesgue measure, as opposed to the volume measure of a previously-proposed diffusion. The two are sometimes equivalent but in general distinct and lead to different Metropolis-adjusted Langevin algorithms, which we compare.

MSC:

60J60 Diffusion processes
60J25 Continuous-time Markov processes on general state spaces
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References:

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