The robbins-monro type stochastic differential equations. I. convergence of solutions

DOI10.1080/17442509708834116MaRDI QIDQ4354632zbMATH OpenOpenAlexFDO

Authors

Publication date 6 November 1997

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509708834116

zbMATH Keywords

Robbins-Monro type stochastic differential equationsemimartingales convergence setsstandard and nonstandard representations

Mathematics Subject Classification ID

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

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(11)

• The Robbins-Monro type stochastic differential equations. III: Polyak's averaging
• Recursive parameter estimation: convergence
• Recursive estimation procedures for one-dimensional parameter of statistical models associated with semimartingales
• The Robbins-Monro type SDE and recursive estimation
• Efficient on-line estimation of autoregressive parameters
• The Robbins–Monro type stochastic differential equations. II. Asymptotic behaviour of solutions
• Semimartingale stochastic approximation procedure and recursive estimation
• Stochastic approximation procedures for Lévy-driven SDEs
• The Polyak weighted averaging procedure for Robbins-Monro type SDE
• On a class of stochastic differential equations arising from the stochastic approximation theory
• Rate of convergence of truncated stochastic approximation procedures with moving bounds

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