Non asymptotic controls on a recursive superquantile approximation

DOI10.1214/21-EJS1908zbMath1471.62443arXiv2009.13174OpenAlexW3203193241MaRDI QIDQ2233588

Manon Costa, Sébastien Gadat

Publication date: 11 October 2021

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.13174

zbMATH Keywords

stochastic approximationdiffusion approximationquantile and superquantilenon-asymptotic controls

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Stochastic approximation (62L20)

Related Items

Convergence in quadratic mean of averaged stochastic gradient algorithms without strong convexity nor bounded gradient

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