Lévy Langevin Monte Carlo for sampling from heavy-tailed target distributions

Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung

Beitragende

Abstract

We extend the Lévy Langevin Monte Carlo method studied by Oechsler (2024): Choosing a heavy-tailed target distribution we prove convergence of a solution of a stochastic differential equation to this target. Hereby, the stochastic differential equation is driven by a compound Poisson process - unlike in the case of a classical Langevin diffusion. The method allows one to sample from non-smooth targets and distributions with separated modes with exponential convergence to the invariant distribution, which in general cannot be guaranteed by the classical Langevin diffusion in presence of heavy tails. The method is promising due to the possibility of a simple implementation because of the compound Poisson noise term.

Details

OriginalspracheEnglisch
Seitenumfang30
FachzeitschriftExtremes
PublikationsstatusElektronische Veröffentlichung vor Drucklegung - 13 Juli 2026
Peer-Review-StatusJa

Externe IDs

ORCID /0000-0002-9999-7589/work/222759551

Schlagworte

ASJC Scopus Sachgebiete

  • Statistik und Wahrscheinlichkeit - 60G10, 60H10, Exponential convergence, Heavy-Tailed target distribution, Invariant distributions, Langevin Monte Carlo, Lévy process, Markov Chain Monte Carlo, Primary—60G51, Secondary—65C05, Stochastic differential equation
  • Ingenieurwesen (sonstige) - 60G10, 60H10, Exponential convergence, Heavy-Tailed target distribution, Invariant distributions, Langevin Monte Carlo, Lévy process, Markov Chain Monte Carlo, Primary—60G51, Secondary—65C05, Stochastic differential equation
  • Volkswirtschaftslehre, Ökonometrie und Finanzen (sonstige) - 60G10, 60H10, Exponential convergence, Heavy-Tailed target distribution, Invariant distributions, Langevin Monte Carlo, Lévy process, Markov Chain Monte Carlo, Primary—60G51, Secondary—65C05, Stochastic differential equation

Schlagwörter

  • 60G10, 60H10, Exponential convergence, Heavy-Tailed target distribution, Invariant distributions, Langevin Monte Carlo, Lévy process, Markov Chain Monte Carlo, Primary—60G51, Secondary—65C05, Stochastic differential equation