A multi-step Richardson-Romberg extrapolation method for stochastic approximation

DOI10.1016/j.spa.2015.05.016zbMath1336.60137arXiv1409.4748OpenAlexW1665669983MaRDI QIDQ491176

Lorick Huang, Noufel Frikha

Publication date: 24 August 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.4748

zbMATH Keywords

stochastic optimizationstochastic approximationRichardson-Romberg extrapolationdiffusion processesEuler schemeweak error

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Existence of optimal solutions to problems involving randomness (49J55)

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