The Robbins-Monro type stochastic differential equations. III: Polyak's averaging

DOI10.1080/17442500903242815MaRDI QIDQ3585328zbMATH OpenOpenAlexFDO

Authors

Publication date 19 August 2010

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500903242815

zbMATH Keywords

Polyak's averagingrecursive estimationRobbins-Monro type SDEstochastic approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic approximation (62L20)

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Cites work

• About Gaussian schemes in stochastic approximation
• Acceleration of Stochastic Approximation by Averaging
• On extensions of Polyak's averaging approach to stochastic approximation
• Some results about averaging in stochastic approximation
• Stochastic approximation
• Stochastic optimization with averaging of trajectories
• STOCK LIQUIDATION VIA STOCHASTIC APPROXIMATION USING NASDAQ DAILY AND INTRA‐DAY DATA
• The robbins-monro type stochastic differential equations. I. convergence of solutions
• The Robbins–Monro type stochastic differential equations. II. Asymptotic behaviour of solutions

Cited in

(4)

• The Polyak weighted averaging procedure for Robbins-Monro type SDE
• The robbins-monro type stochastic differential equations. I. convergence of solutions
• The Robbins–Monro type stochastic differential equations. II. Asymptotic behaviour of solutions
• Stochastic approximation procedures for Lévy-driven SDEs

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