A note on continuous-time stochastic approximation in infinite dimensions

被引：0
|
作者：
Seidler, Jan [1 ]
Zak, Frantisek [2 ]
机构：
[1] Czech Acad Sci, Inst Informat Theory & Automat, Prague 18208, Czech Republic
[2] Imperial Coll London, London, England
来源：
ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2017年 / 22卷
关键词：
stochastic approximation; stochastic parabolic problems; variational solutions; HILBERT-SPACE;
D O I：
10.1214/17-ECP67
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We find sufficient conditions for convergence of a continuous-time Robbins-Monro type stochastic approximation procedure in infinite dimensional Hilbert spaces in terms of Lyapunova functions, the variational approach to stochastic partial differential equations being used as the main tool.
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页数：13
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