Weighted multilevel Langevin simulation of invariant measures
Weighted multilevel Langevin simulation of invariant measures is a scholarly work, published in 2018 in ''Annals of Applied Probability''. The main subjects of the publication include rate of convergence, regularization, ergodic theory, Delta method, Richardson extrapolation, invariant, Markov chain Monte Carlo, Monte Carlo method, mathematical extrapolation, estimator, applied mathematics, mathematics, and statistical physics. The authors investigate a weighted Multilevel Richardson-Romberg extrapolation for the ergodic approximation of invariant distributions of diffusions adapted from the one introduced in~Lemaire-Pagès, 2013 for regular Monte Carlo simulation.