Martingale Models of Stochastic Approximation and Their Convergence

DOI10.1137/S0040585X97977549zbMath0974.62063OpenAlexW2059633697MaRDI QIDQ2711124

Esko Valkeila, Alexander V. Melnikov

Publication date: 2 May 2001

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97977549

zbMATH Keywords

semimartingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic approximation (62L20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (3)

Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement ⋮ Semimartingale stochastic approximation procedure and recursive estimation ⋮ Recursive estimation procedures for one-dimensional parameter of statistical models associated with semimartingales

This page was built for publication: Martingale Models of Stochastic Approximation and Their Convergence