Accession Number:

ADA614858

Title:

Moderate Deviations for Recursive Stochastic Algorithms

Descriptive Note:

Technical rept.

Corporate Author:

BROWN UNIV PROVIDENCE RI DIV OF APPLIED MATHEMATICS

Personal Author(s):

• Dupuis, Paul
• Johnson, Dane

Report Date:

2014-08-02

Pagination or Media Count:

36.0

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.

Descriptors:

• *RECURSIVE FUNCTIONS
• *STOCHASTIC PROCESSES
• ALGORITHMS
• APPLIED MATHEMATICS
• ENTROPY
• INTERPOLATION
• LAPLACE TRANSFORMATION
• MARKOV PROCESSES
• MATHEMATICAL ANALYSIS
• TIME
• WEAK CONVERGENCE

Subject Categories:

• Numerical Mathematics
• Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE