A Weak Convergence Theorem with Application to the Robbins-Monro Process
Kersting, Gotz D.
Ann. Probab., Tome 6 (1978) no. 6, p. 1015-1025 / Harvested from Project Euclid
In this paper the asymptotic distribution of a sequence of random variables $(X_n)_{n \in \mathbf{N}}$, given by the recursion $$X_{n+1} = X_n(1 - a_n^2g(X_n)) + a_n Y_n,$$ is considered, where $(Y_n)$ is a sequence of independent identically distributed random variables, $g : \mathbb{R} \rightarrow \mathbb{R}$ is a positive continuous function, and $(a_n)$ is a sequence of positive numbers, going to zero. One application to the Robbins-Monro process is discussed, in which the function $g$ will not be constant. Here the asymptotic distribution is no longer normal.
Publié le : 1978-12-14
Classification:  Weak convergence,  Robbins-Monro process,  60F05,  62L20
@article{1176995390,
     author = {Kersting, Gotz D.},
     title = {A Weak Convergence Theorem with Application to the Robbins-Monro Process},
     journal = {Ann. Probab.},
     volume = {6},
     number = {6},
     year = {1978},
     pages = { 1015-1025},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995390}
}
Kersting, Gotz D. A Weak Convergence Theorem with Application to the Robbins-Monro Process. Ann. Probab., Tome 6 (1978) no. 6, pp.  1015-1025. http://gdmltest.u-ga.fr/item/1176995390/