2017
Том 69
№ 7

All Issues

Asymptotic normality of a discrete procedure of stochastic approximation in a semi-Markov medium

Chabanyuk Ya. M.

Full text (.pdf)


Abstract

We obtain sufficient conditions for the asymptotic normality of a jump procedure of stochastic approximation in a semi-Markov medium using a compensating operator of an extended Markov renewal process. The asymptotic representation of the compensating operator guarantees the construction of the generator of a limit diffusion process of the Ornstein-Uhlenbeck type.

English version (Springer): Ukrainian Mathematical Journal 58 (2006), no. 10, pp 1616-1625.

Citation Example: Chabanyuk Ya. M. Asymptotic normality of a discrete procedure of stochastic approximation in a semi-Markov medium // Ukr. Mat. Zh. - 2006. - 58, № 10. - pp. 1425–1433.

Full text