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Probability Theory

Tobi Lütke1
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Lévy Langevin Monte Carlo for Heavy-Tailed Distributions

The Lévy Langevin Monte Carlo (LLMC) method, an extension of Oechsler's 2024 work, addresses the challenge of sampling from heavy-tailed, subexponential target distributions. This approach utilizes a stochastic differential equation driven by a compound Poisson process, diverging from classical Lang