About Gaussian schemes in stochastic approximation

Alain Le Breton

Stochastic Processes and their Applications, 1994, vol. 50, issue 1, 101-115

Abstract: A family of one-dimensional linear stochastic approximation procedures in continuous time where processes of errors are Gaussian martingales is considered. Under some general assumptions the asymptotic behaviour of these procedures is studied concerning strong consistency, rate of convergence and limiting law of involved estimates and costs. At first some asymptotic results for Gaussian martingales, associated quadratic functionals and functions with finite variation are discussed.

Keywords: asymptotic; normality; estimate; Gaussian; martingale; rate; of; convergence; stochastic; approximation; strong; consistency; Wiener; process (search for similar items in EconPapers)
Date: 1994
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