On H-valued Robbins-Monro processes

G. Yin and Y. M. Zhu

Journal of Multivariate Analysis, 1990, vol. 34, issue 1, 116-140

Abstract: The Robbins-Monto processes in a Hilbert space are considered in this work. A nonlinear mapping f is treated instead of the usual linearity assumption. A modified process with varying truncations is analyzed, and asymptotic properties are investigated. Convergence as well as necessary and sufficient conditions are obtained. In addition, the rate of convergence issue is discussed.

Keywords: Robbins-Monro; process; nonlinear; operator; convergence; law; of; large; numbers (search for similar items in EconPapers)
Date: 1990
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