Central limit theorems of a recursive stochastic algorithm with applications to adaptive designs

DOI10.1214/16-AAP1187zbMath1358.60044arXiv1602.05708OpenAlexW3104630436MaRDI QIDQ511483

Zhang, Lixin

Publication date: 21 February 2017

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

Full work available at URL: https://arxiv.org/abs/1602.05708

zbMATH Keywords

stochastic differential equationcentral limit theoremadaptive designGaussian approximationurn modelstochastic approximation algorithms

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Strong limit theorems (60F15) Stochastic approximation (62L20) Functional limit theorems; invariance principles (60F17)

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