Stochastic approximation with averaging innovation applied to Finance
نویسندگان
چکیده
The aim of the paper is to establish a convergence theorem for multi-dimensional stochastic approximation when the “innovations” satisfy some “light” averaging properties in the presence of a pathwise Lyapunov function. These averaging assumptions allow us to unify apparently remote frameworks where the innovations are simulated (possibly deterministic like in Quasi-Monte Carlo simulation) or exogenous (like market data) with ergodic properties. We propose several fields of applications and illustrate our results on five examples mainly motivated by Finance.
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Stochastic Approximation with Averaging Innovation
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عنوان ژورنال:
- Monte Carlo Meth. and Appl.
دوره 18 شماره
صفحات -
تاریخ انتشار 2012