List questions from stochastic-approximation

Published on 26 Feb 2026 - 4:15

193

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Approximating Geometric Brownian Motion numerically

Published on 19 Jun 2016 - 19:10

88

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A question on Stochastic Approximation

Published on 05 Sep 2013 - 8:51

102

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Time Discretization

Published on 03 Mar 2014 - 11:31

102

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For $X_{n+1}=(1-\Delta t)X_n + \sqrt{2\Delta t}\xi_n$, why is $X_n$ centered normal with variance $1/(1-\delta t/2)$ for $n\gg1$?

Published on 27 May 2017 - 11:54

33

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How to simplify $\int_0^T\int_0^T\mathbb{E}_{\pi}\left(\bar{f}(X_t)\bar{f}(X_s)\right)\mathrm{d}t\mathrm{d}s$?

Published on 27 May 2017 - 14:44

176

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Optimize Expected value of noisy data (stochastic aproximation)

Published on 17 Jul 2017 - 23:27

49

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Measurement results of Wiener process (Brownian process)

Published on 02 Aug 2017 - 14:42

189

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Convergence of least square monte carlo

Published on 29 Aug 2017 - 2:53

177

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Tips for select the best seed (pseudorandom numbers)

Published on 30 Aug 2017 - 19:13

198

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Bound for Expectation value of dependent random variables

Published on 11 Sep 2017 - 14:18

156

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Maximum Likelihood Estimation of Multivariate Gaussian Density, where the number of samples is smaller than the unknown parameters

Published on 13 Oct 2017 - 20:10

143

Views

difference of independent Rayleigh random variables

Published on 30 Oct 2017 - 13:38

185

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Monte Carlo Estimate Conditional Expectation, Splitting, Asmussen

Published on 05 Dec 2017 - 22:29

959

Views

Stochastic optimization vs stochastic programming

Published on 23 Mar 2026 - 6:57

List Question

Central Limit Theorem and Normal Approximation

Approximating Geometric Brownian Motion numerically

A question on Stochastic Approximation

Time Discretization

For $X_{n+1}=(1-\Delta t)X_n + \sqrt{2\Delta t}\xi_n$, why is $X_n$ centered normal with variance $1/(1-\delta t/2)$ for $n\gg1$?

How to simplify $\int_0^T\int_0^T\mathbb{E}_{\pi}\left(\bar{f}(X_t)\bar{f}(X_s)\right)\mathrm{d}t\mathrm{d}s$?

Optimize Expected value of noisy data (stochastic aproximation)

Measurement results of Wiener process (Brownian process)

Convergence of least square monte carlo

Tips for select the best seed (pseudorandom numbers)

Bound for Expectation value of dependent random variables

Maximum Likelihood Estimation of Multivariate Gaussian Density, where the number of samples is smaller than the unknown parameters

difference of independent Rayleigh random variables

Monte Carlo Estimate Conditional Expectation, Splitting, Asmussen

Stochastic optimization vs stochastic programming

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