Abstract
AbstractAnalogously to the well-known Langevin Monte Carlo method, in this article we provide a method to sample from a target distribution $$\varvec{\pi }$$
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 $$(0,\infty )$$
(
0
,
∞
)
and a compound Poisson driving noise. Several illustrative examples conclude the article.
Funder
Technische Universität Dresden
Publisher
Springer Science and Business Media LLC
Subject
Computational Theory and Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability,Theoretical Computer Science
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