Abstract
General results concerning the asymptotic behaviour of the solution of the Robbins–Monro type stochastic differential equations are presented. In particular, the rate of convergence of the solution Z = (Z_{t})_{t \qeq 0} as t \rightarrow \infty is established. Moreover, it is shown that Z admits an asymptotic expansion which enables one to obtain the asymptotic distribution of the randomly normed solution from a martingale limit theorem.
Notes
†Supported by Grant INTAS 97-30204.