Displaying similar documents to “Stochastic two-scale convergence in the mean and applications.”

A note on the convergence rate in regularized stochastic programming

Evgueni I. Gordienko, Yury Gryazin (2021)

Kybernetika

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We deal with a stochastic programming problem that can be inconsistent. To overcome the inconsistency we apply Tikhonov's regularization technique, and, using recent results on the convergence rate of empirical measures in Wasserstein metric, we treat the following two related problems: 1. A choice of regularization parameters that guarantees the convergence of the minimization procedure. 2. Estimation of the rate of convergence in probability. Considering both light and heavy tail distributions...

Asymptotic normality of randomly truncated stochastic algorithms

Jérôme Lelong (2013)

ESAIM: Probability and Statistics

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We study the convergence rate of randomly truncated stochastic algorithms, which consist in the truncation of the standard Robbins–Monro procedure on an increasing sequence of compact sets. Such a truncation is often required in practice to ensure convergence when standard algorithms fail because the expected-value function grows too fast. In this work, we give a self contained proof of a central limit theorem for this algorithm under local assumptions on the expected-value function,...

Stability of stochastic differential equations driven by general semimartingales

Słomiński Leszek

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CONTENTS Introduction........................................................................................................5 0. Announcement of results...............................................................................7 1. Condition (UT).............................................................................................18 2. Weak convergence of solutions...................................................................26 ...

Large deviations, central limit theorems and L convergence for Young measures and stochastic homogenizations

Julien Michel, Didier Piau (2010)

ESAIM: Probability and Statistics

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We study the stochastic homogenization processes considered by Baldi (1988) and by Facchinetti and Russo (1983). We precise the speed of convergence towards the homogenized state by proving the following results: (i) a large deviations principle holds for the Young measures; if the Young measures are evaluated on a given function, then (ii) the speed of convergence is bounded in every L norm by an explicit rate and (iii) central limit theorems hold. In dimension 1, we apply these...