Transport-entropy inequalities and deviation estimates for stochastic approximation schemes

DOI10.1214/EJP.V18-2586zbMath1284.60137arXiv1301.7740OpenAlexW1989260982MaRDI QIDQ388949

Noufel Frikha, Max Fathi

Publication date: 17 January 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.7740

zbMATH Keywords

Euler schemedeviation boundsstochastic approximation algorithmsstochastic approximation with averagingtransportation-entropy inequalities

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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