# Questions tagged [stochastic-approximation]

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### Derivative with respect to initial condition for the solution of an SDE

Suppose we have an SDE (assuming the Lipschitz continuous conditions required for the existence of the solution): \begin{align} dX_t = \mu(X_t,t)dt + \sigma(X_t,t)dW_t \end{align} and define its ...
• 111
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### Phase space Brownian bridge

I understand the concept of the 1 dimensional Brownian bridge with the form of: $$dx_t=\frac{-1}{1-t}x_t \, dt + dw_t$$ s.t. $x_0=0$ and $x_1=0$ where $dw_t$ is a Wiener process. I am thinking about ...
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### Understanding the approximation of a random sum of random processes

I want to understand an approximation of a compound Poisson distribution in this paper. First, let's set the environment. Consider $\mathcal{P}$ the class of distributions of real-valued and strictly ...
• 135
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### A double sum with complex numbers having stochastic variables

I am very confused by a sum I have been trying to solve analytically/ numerically for a long time. It comes from the idea of a physical problem where the observation is made that has a combined ...
• 159
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