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heavy-tailed distributions 1langevin monte carlo 1levy processes 1sampling algorithms 1stochastic differential equations 1

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1 paper

math.PR2026

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

Anita Behme, Claudius Lütke Schwienhorst

The paper extends Lévy Langevin Monte Carlo by using a compound Poisson-driven stochastic differential equation to sample heavy‑tailed and non‑smooth target distributions, proving…