ASYMPTOTIC BEHAVIOR FOR THE ROBBINS-MONRO PROCESS

作者：Miao, Yu^*; Dong, Manru^*

来源：Journal of Applied Probability, 2018, 55(2): 559-570.

DOI：10.1017/jpr.2018.35

• Robbins-Monro process
• moderate deviation
• exponential inequality

In this paper we study the Robbins-Monro procedure Xn+1 = X-n - an(-1)Y(n) with some fixed number a > 0 and establish the moderate deviation principle of the process {X-n}.

• 出版日期2018-6
• 单位河南师范大学