Sampling from Mixture Distributions Based on Regime-Switching Diffusions

It is proposed to use stochastic differential equations with state-dependent switching 4 rates (SDEwS) for sampling from finite mixture distributions. An Euler scheme with constant time 5 step for SDEwS is considered. It is shown that the scheme converges with order one in weak sense 6 and also in the ergodic limit. Numerical experiments illustrate the use of SDEwS for sampling from 7 mixture distributions and confirm the theoretical results. 8 Key words. Stochastic differential equations with switching, hybrid switching diffusions, finite 9 mixture distributions, ergodic limits, sampling, weak numerical schemes.