Displaying similar documents to “An extension of Driml-Nedoma continuous stochastic approximation procedure”

An extended problem to Bertrand's paradox

Mostafa K. Ardakani, Shaun S. Wulff (2014)

Discussiones Mathematicae Probability and Statistics

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Bertrand's paradox is a longstanding problem within the classical interpretation of probability theory. The solutions 1/2, 1/3, and 1/4 were proposed using three different approaches to model the problem. In this article, an extended problem, of which Bertrand's paradox is a special case, is proposed and solved. For the special case, it is shown that the corresponding solution is 1/3. Moreover, the reasons of inconsistency are discussed and a proper modeling approach is determined by...

Stochastic continuity and approximation

Leon Brown, Bertram Schreiber (1996)

Studia Mathematica

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This work is concerned with the study of stochastic processes which are continuous in probability, over various parameter spaces, from the point of view of approximation and extension. A stochastic version of the classical theorem of Mergelyan on polynomial approximation is shown to be valid for subsets of the plane whose boundaries are sets of rational approximation. In a similar vein, one can obtain a version in the context of continuity in probability of the theorem of Arakelyan on...

Large losses-probability minimizing approach

Michał Baran (2004)

Applicationes Mathematicae

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The probability minimizing problem for large losses of portfolio in discrete and continuous time models is studied. This gives a generalization of quantile hedging presented in [3].