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Stochastics and Stochastic Reports Volume 61, 1997 - Issue 1-2
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Original Articles

The robbins-monro type stochastic differential equations. I. convergence of solutions

N. Lazrieva Department of Probability Theory and Mathematical Statistics, A. Razmadze Mathematical Institute Georgian Academy of Sciences, M. Aleksidze str. 1, Tbilisi, 380093, Georgia
,
T. Sharia Department of Probability Theory and Mathematical Statistics, A. Razmadze Mathematical Institute Georgian Academy of Sciences, M. Aleksidze str. 1, Tbilisi, 380093, Georgia
&
T. Toronjadze Department of Probability Theory and Mathematical Statistics, A. Razmadze Mathematical Institute Georgian Academy of Sciences, M. Aleksidze str. 1, Tbilisi, 380093, Georgia
Pages 67-87 | Published online: 04 Apr 2007

Citations (9)

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Read on this site (2)

N. Lazrieva & T. Toronjadze. (2010) The Robbins-Monro type stochastic differential equations. III. Polyak's averaging. Stochastics 82:2, pages 165-188.
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N. Lazrieva, T. Sharia & T. Toronjadze†. (2003) The Robbins–Monro type stochastic differential equations. II. Asymptotic behaviour of solutions . Stochastics and Stochastic Reports 75:3, pages 153-180.
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Articles from other publishers (7)

Jan Seidler & Ondřej Týbl. (2023) Stochastic Approximation Procedures for Lévy-Driven SDEs. Journal of Optimization Theory and Applications 197:2, pages 817-837.
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Nanuli Lazrieva & Temur Toronjadze. (2017) Recursive estimation procedures for one-dimensional parameter of statistical models associated with semimartingales. Transactions of A. Razmadze Mathematical Institute 171:1, pages 57-75.
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Jan Seidler & František Žák. (2017) A note on continuous-time stochastic approximation in infinite dimensions. Electronic Communications in Probability 22:none.
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T. Sharia. (2010) Efficient on-line estimation of autoregressive parameters. Mathematical Methods of Statistics 19:2, pages 163-186.
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N. Lazrieva, T. Sharia & T. Toronjadze. (2008) Semimartingale stochastic approximation procedure and recursive estimation. Journal of Mathematical Sciences 153:3, pages 211-261.
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Teo Sharia. (2007) Recursive parameter estimation: convergence. Statistical Inference for Stochastic Processes 11:2, pages 157-175.
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E. Valkeila & A. V. Melnikov. (2000) Martingale Models of Stochastic Approximation and Their Convergence. Theory of Probability & Its Applications 44:2, pages 333-360.
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