Borkar, V. S. ; Mitter, S. K. (1999) A strong approximation theorem for stochastic recursive algorithms Journal of Optimization Theory and Applications, 100 (3). pp. 499-513. ISSN 0022-3239
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Official URL: http://www.springerlink.com/content/h7p10m8417776v...
Related URL: http://dx.doi.org/10.1023/A:1022630321574
Abstract
The constant stepsize analog of Gelfand-Mitter type discrete-time stochastic recursive algorithms is shown to track an associated stochastic differential equation in the strong sense, i.e., with respect to an appropriate divergence measure.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Springer-Verlag. |
| Keywords: | Approximation of Stochastic Differential Equations; Asymptotic Behavior; Constant Stepsize Algorithms; Stochastic Algorithms |
| ID Code: | 5336 |
| Deposited On: | 18 Oct 2010 08:46 |
| Last Modified: | 20 May 2011 09:08 |
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