List questions from stochastic-approximation | MathQa

Prove that: $E[\int^{\tau}_{0} f(t)d\omega(t)]=0$ and $E\mid \int^{\tau}_{0} f(t)d\omega(t)\mid^2=E[\int^{\tau}_{0} f^2(t)dt]$.

Published on 12 Jan 2025 - 23:42

Steps to understand that $ \sigma \int_t^T e^{\kappa(s-T)} dW_s $ is distributed $ \sigma \sqrt{\frac{1-e^{-2\kappa (T-t)}}{2 \kappa}} N_{0,1}$

Published on 12 Jan 2025 - 21:04

Variance converging to zero implies weak convergence to delta measure?

Published on 12 Jan 2025 - 20:53

Simple application of Donsker's theorem

Published on 12 Jan 2025 - 20:34

Equicontinuity of stochastic approximation projection terms in Kushner and Yin

Published on 12 Jan 2025 - 20:58

Error Estimates. L1 or L2 norm?

Published on 12 Jan 2025 - 18:24

Deriving the E-Step and M-Steps of the EM-Algorithm?

Published on 12 Jan 2025 - 20:45

Central Limit Theorem and Normal Approximation

Published on 12 Jan 2025 - 20:40

Approximating Geometric Brownian Motion numerically

Published on 12 Jan 2025 - 20:45

Metropolis sampling for Bayesian networks

Published on 12 Jan 2025 - 20:36