On asymptotical normality of stochastic procedures with retardation

Abstract

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.)-convergenceL_2: -convergence and asymptotic normality of these algorithms are obtained with the help of the so-called Dolean exponent.