On the convergence of linear stochastic approximation procedures

DOI10.1109/18.508865zbMATH Open0854.60041OpenAlexW2116863403MaRDI QIDQ4885743FDOQ4885743

Authors: Michael A. Kouritzin 

Publication date: 5 January 1997

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/18.508865

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zbMATH Keywords

dependent random variablesstochastic approximationalmost sure convergenceadaptive filteringrecursive algorithmsRobbins-Monro process

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Limit theorems in probability theory (60F99)

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• Almost sure convergence of stochastic gradient processes with matrix step sizes
• Explicit Heston solutions and stochastic approximation for path-dependent option pricing
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