Moderate Deviations for Recursive Stochastic Algorithms

Abstract

We prove a moderate deviation principle for the continuous time interpolation of discrete time recursive stochastic processes. The methods of proof are somewhat different from the corresponding large deviation result, and in particular the proof of the upper bound is more complicated.

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Document Details

Document Type
Technical Report
Publication Date
Aug 02, 2014
Accession Number
ADA614858

Entities

People

  • Dane Johnson
  • Paul Dupuis

Organizations

  • Brown University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Abstracts
  • Algorithms
  • Applied Mathematics
  • Construction
  • Convergence
  • Eigenvalues
  • Inequalities
  • Interpolation
  • Markov Chains
  • Military Research
  • Notation
  • Probability
  • Random Variables
  • Sequences
  • Stochastic Control
  • Stochastic Processes
  • Weak Convergence

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Mathematics or Statistics