On H-valued Robbins-Monro processes


The Robbins-Monto processes in a Hilbert space are considered in this work. A nonlinear mapping f is treated instead of the usual linearity assumption. A modified process with varying truncations is analyzed, and asymptotic properties are investigated. Convergence as well as necessary and sufficient conditions are obtained. In addition, the rate of convergence issue is discussed.Robbins-Monro process nonlinear operator convergence law of large numbers

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Research Papers in Economics

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Last time updated on 7/6/2012

This paper was published in Research Papers in Economics.

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