On a continuous time stochastic approximation problem

DOI10.1007/BF00995492zbMath0791.60016OpenAlexW2044641957MaRDI QIDQ1321569

Ishita Gupta, G. George Yin

Publication date: 7 July 1994

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00995492

zbMATH Keywords

stochastic approximationBrownian motionasymptotic covariance matrixfunctional invariance theorem

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic approximation (62L20) Functional limit theorems; invariance principles (60F17)

Related Items (3)

Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement ⋮ Stochastic Gradient Descent in Continuous Time: A Central Limit Theorem ⋮ Semimartingale stochastic approximation procedure and recursive estimation

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