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

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,...

An averaging principle for stochastic evolution equations. II.

Bohdan Maslowski, Jan Seidler, Ivo Vrkoč (1991)

Mathematica Bohemica

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In the present paper integral continuity theorems for solutions of stochastic evolution equations of parabolic type on unbounded time intervals are established. For this purpose, the asymptotic stability of stochastic partial differential equations is investigated, the results obtained being of independent interest. Stochastic evolution equations are treated as equations in Hilbert spaces within the framework of the semigroup approach.