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Central Limit Theorem and Normal Approximation

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#approximation #stochastic-approximation
195
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Approximating Geometric Brownian Motion numerically

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#probability #stochastic-processes #numerical-methods #stochastic-approximation
93
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A question on Stochastic Approximation

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#parameter-estimation #stochastic-analysis #stochastic-approximation
106
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Time Discretization

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#numerical-methods #approximation #approximation-theory #stochastic-approximation
105
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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 $n\gg1$?

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#stochastic-processes #normal-distribution #stochastic-approximation
36
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How to simplify $\int_0^T\int_0^T\mathbb{E}_{\pi}\left(\bar{f}(X_t)\bar{f}(X_s)\right)\mathrm{d}t\mathrm{d}s$?

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#stochastic-processes #markov-process #covariance #stochastic-approximation
180
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Optimize Expected value of noisy data (stochastic aproximation)

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#probability #optimization #stochastic-processes #stochastic-approximation
52
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Measurement results of Wiener process (Brownian process)

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#statistics #stochastic-processes #mathematical-physics #brownian-motion #stochastic-approximation
190
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Convergence of least square monte carlo

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#convergence-divergence #regression #monte-carlo #regression-analysis #stochastic-approximation
180
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Tips for select the best seed (pseudorandom numbers)

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#random-variables #random #stochastic-approximation
201
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Bound for Expectation value of dependent random variables

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#probability #stochastic-integrals #stochastic-approximation
159
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Maximum Likelihood Estimation of Multivariate Gaussian Density, where the number of samples is smaller than the unknown parameters

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#matrices #statistics #statistical-inference #matrix-calculus #stochastic-approximation
146
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difference of independent Rayleigh random variables

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#stochastic-processes #random-variables #stochastic-approximation
188
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Monte Carlo Estimate Conditional Expectation, Splitting, Asmussen

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#conditional-expectation #monte-carlo #stochastic-approximation
963
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Stochastic optimization vs stochastic programming

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#optimization #soft-question #numerical-optimization #stochastic-approximation #stochastic-programming

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