Large Deviations for the Method of Empirical Means in Stochastic Optimization Problems with Continuous Time Observations

Pavel S. Knopov () and Evgenija J. Kasitskaya
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Pavel S. Knopov: V.M. Glushkov Institute of Cybernetics NAS of Ukraine
Evgenija J. Kasitskaya: V.M. Glushkov Institute of Cybernetics NAS of Ukraine

A chapter in Optimization Methods and Applications, 2017, pp 263-275 from Springer

Abstract: Abstract In this paper we consider the large deviation problem for the method of empirical means in stochastic optimization with continuous time observations. For discrete time models this problem was studied in Knopov and Kasitskaya (Cybern Syst Anal 4:52–61, 2004; Cybern Syst Anal 5:40–45, 2010).

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:spr:spochp:978-3-319-68640-0_13

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DOI: 10.1007/978-3-319-68640-0_13

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