Asymptotic normality of the continuous-time stochastic approximation algorithm

DOI10.1007/BF01883891zbMath0579.62068OpenAlexW120351339MaRDI QIDQ1067332

Chen, Hanfu

Publication date: 1984

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01883891

zbMATH Keywords

linear systemasymptotic normalitymeasurement errorIto integralcontinuous-time stochastic approximation algorithmprocess of independent incrementRobbins- Monro procedurezero of a regression function

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Stochastic approximation (62L20)

Cites Work

• Stochastic approximation methods for constrained and unconstrained systems
• Analysis of recursive stochastic algorithms
• A Continuous Kiefer-Wolfowitz Procedure for Random Processes
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