All Questions

Suppose there are two given SDE in $\mathbb{R}^d$: $$ \begin{align} \left\{ \begin{aligned} dX_t&=\begin{bmatrix}-\nabla V(X_t)+2\beta^{-1}v_F^\theta(X_t)\end{bmatrix}dt+\sqrt{2\beta^{-1}}dW_t,&...

Consider being given a $n-$dimensional random vector with a distribution ${\cal D}$, vectors $a \in \mathbb{R}^k$, $\{ b_i \in \mathbb{R}^n \}_{i=1}^k$ and non-linear Lipschitz functions, $f_1,f_2 : \...

In my particular problem, running an MCMC is too expensive, so I'm looking for a simple MC estimator, which would partially inherit the correlated samples of MCMC, yet would not require computing ...