The robbins-monro type stochastic differential equations. I. convergence of solutions

DOI10.1080/17442509708834116zbMath0885.60048OpenAlexW2032674448MaRDI QIDQ4354632

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Publication date: 6 November 1997

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509708834116

zbMATH Keywords

Robbins-Monro type stochastic differential equationsemimartingales convergence setsstandard and nonstandard representations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic approximation (62L20)

Related Items (7)

Recursive parameter estimation: convergence ⋮ Stochastic approximation procedures for Lévy-driven SDEs ⋮ Efficient on-line estimation of autoregressive parameters ⋮ Rate of convergence of truncated stochastic approximation procedures with moving bounds ⋮ Semimartingale stochastic approximation procedure and recursive estimation ⋮ The Robbins-Monro type stochastic differential equations. III. Polyak's averaging ⋮ Recursive estimation procedures for one-dimensional parameter of statistical models associated with semimartingales

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