Displaying similar documents to “Stability of stochastic differential equations driven by general semimartingales”

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,...

Stabilization of partially linear composite stochastic systems via stochastic Luenberger observers

Patrick Florchinger (2022)

Kybernetika

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The present paper addresses the problem of the stabilization (in the sense of exponential stability in mean square) of partially linear composite stochastic systems by means of a stochastic observer. We propose sufficient conditions for the existence of a linear feedback law depending on an estimation given by a stochastic Luenberger observer which stabilizes the system at its equilibrium state. The novelty in our approach is that all the state variables but the output can be corrupted...