Rodkina, Alexandra E.
Author Affiliation, Ana.
Department of Mathematics and Computer Science
On asymptotical normality of stochastic procedures with retardation
Stochastic Analysis and Applications
Date of Publication
Generalized Robbins-Monro and Kiefer-Wolfowitz stochastic approximation procedures with retardation are considered from the point of view of the theory of stochastic differential equation with respect to semimartingales. The results on (a.s.)-convergence, L2-convergence and asymptotic normality of these algorithms are obtained with the help of the so-called Dolean exponent.....