Stochastic approximation with random step sizes and urn models with random replacement matrices having finite mean

DOI10.1214/18-AAP1441zbMath1435.62311arXiv1709.00467OpenAlexW2963199393WikidataQ127445121 ScholiaQ127445121MaRDI QIDQ2330454

Ujan Gangopadhyay, Krishanu Maulik

Publication date: 22 October 2019

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.00467

zbMATH Keywords

stochastic approximationuniform integrabilityirreducibilityurn modelrandom driftLotka-Volterra differential equationrandom replacement matrixbalanced replacement matrixrandom step size

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Strong limit theorems (60F15) Stochastic approximation (62L20)

Related Items (4)

Generalized rescaled Pólya urn and its statistical application ⋮ A Finite Memory Interacting Pólya Contagion Network and Its Approximating Dynamical Systems ⋮ Barabási-Albert random graph with multiple type edges and perturbation ⋮ Almost sure convergence of randomized urn models with application to elephant random walk

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