Averaging for martingale problems and stochastic approximation

作者: Thomas G. Kurtz

DOI: 10.1007/BFB0007058

关键词:

摘要:

参考文章(19)
Thomas G. Kurtz, Martingale problems for controlled processes Springer, Berlin, Heidelberg. pp. 75- 90 ,(1987) , 10.1007/BFB0009051
Pierre Lochak, Claude Meunier, Multiphase Averaging for Classical Systems Applied Mathematical Sciences. ,(1988) , 10.1007/978-1-4612-1044-3
Alain Bensoussan, Alain Bensoussan, Jacques Louis Lions, George Papanicolaou, Asymptotic analysis for periodic structures ,(1978)
Thomas G. Kurtz, Inequalities for the Law of Large Numbers Annals of Mathematical Statistics. ,vol. 43, pp. 1874- 1883 ,(1972) , 10.1214/AOMS/1177690858
Reuben Hersh, Random evolutions: A survey of results and problems Rocky Mountain Journal of Mathematics. ,vol. 4, pp. 443- 478 ,(1974) , 10.1216/RMJ-1974-4-3-443
Harold J. Kushner, Adam Shwartz, An Invariant Measure Approach to the Convergence of Stochastic Approximations with State Dependent Noise SIAM Journal on Control and Optimization. ,vol. 22, pp. 13- 27 ,(1984) , 10.1137/0322002
R. Z. Has’minskii, On Stochastic Processes Defined by Differential Equations with a Small Parameter Theory of Probability & Its Applications. ,vol. 11, pp. 211- 228 ,(1966) , 10.1137/1111018
Michel Metivier, Pierre Priouret, Applications of a Kushner and Clark lemma to general classes of stochastic algorithms IEEE Transactions on Information Theory. ,vol. 30, pp. 140- 151 ,(1984) , 10.1109/TIT.1984.1056894
Harold J. Kushner, Jump-Diffusion Approximations for Ordinary Differential Equations with Wide-Band Random Right Hand Sides SIAM Journal on Control and Optimization. ,vol. 17, pp. 729- 744 ,(1979) , 10.1137/0317051
R. J. Griego, R. Hersh, Random evolutions, markov chains, and systems of partial differential equations. Proceedings of the National Academy of Sciences of the United States of America. ,vol. 62, pp. 305- 308 ,(1969) , 10.1073/PNAS.62.2.305