Exponential Convergence of Langevin Diiusions and Their Discrete Approximations

@inproceedings{Roberts1997ExponentialCO,
  title={Exponential Convergence of Langevin Diiusions and Their Discrete Approximations},
  author={Gareth O. Roberts and Richard L. Tweedie},
  year={1997}
}
In this paper we consider a continous time method of approximating a given distribution using the Langevin diiusion dL t = dW t + 1 2 r log (L t)dt: We nd conditions under which this diiusion converges exponentially quickly to or does not: in one dimension, these are essentially that for distributions with exponential tails of the form (x) / exp(?jxj), 0… CONTINUE READING