Taylor, Katarzyna B. (2015) Exact algorithms for simulation of diffusions with discontinuous drift and robust Curvature Metropolis-adjusted Langevin algorithms. PhD thesis, University of Warwick.
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Official URL: http://webcat.warwick.ac.uk/record=b2825616~S1
Abstract
In our work we propose new Exact Algorithms for simulation of diffusions with discontinuous drift and new methodology for simulating Brownian motion jointly with its local time. In the second part of the thesis we introduce Metropolis-adjusted Langevin algorithm which uses local geometry and we prove geometric ergodicity in case of benchmark distributions with light tails.
| Item Type: | Thesis [via Doctoral College] (PhD) |
|---|---|
| Alternative Title: | Taylor |
| Subjects: | Q Science > QA Mathematics |
| Library of Congress Subject Headings (LCSH): | Diffusion -- Statistical methods, Brownian motion processes, Langevin equations |
| Official Date: | June 2015 |
| Dates: | Date Event June 2015 Submitted |
| Institution: | University of Warwick |
| Theses Department: | Department of Statistics |
| Thesis Type: | PhD |
| Publication Status: | Unpublished |
| Supervisor(s)/Advisor: | Roberts, Gareth Owen, 1964- |
| Extent: | ix, 84 leaves |
| Language: | eng |
| URI: | https://wrap.warwick.ac.uk/72262/ |
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