Stability of Random Iterative Mappings

László Gerencsér
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László Gerencsér: Hungarian Academy of Sciences

Chapter Chapter 17 in Modeling Uncertainty, 2002, pp 359-371 from Springer

Abstract: Abstract We consider a sequence of not necessarily i.i.d. random mappings that arise in discrete-time fixed-gain recursive estimation processes. This is related to the sequence generated by the discrete-time deterministic recursion defined in terms of the averaged field. The tracking error is majorated by an L-mixing process the moments of which can be estimated. Thus we get a discrete-time stochastic averaging principle. The paper is a simplification and extension of Gerencsér (1996).

Date: 2002
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DOI: 10.1007/0-306-48102-2_17

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