Stochastic approximation with averaging innovation applied to Finance

DOI10.1515/mcma-2011-0018zbMath1300.62059arXiv1007.3578OpenAlexW2072253168MaRDI QIDQ2882550

Sophie Laruelle, Gilles Pagès

Publication date: 7 May 2012

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1007.3578

zbMATH Keywords

stochastic approximationergodic controlcalibrationstationary processvalue-at-riskquasi-Monte Carloconditional value-at-riskoptimal asset allocationtwo-armed bandit algorithm\(\alpha\)-mixing processGàl-Koksma theoremsequence with low discrepancy

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10) Stochastic approximation (62L20) Financial applications of other theories (91G80)

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