Moderate Deviations for Recursive Stochastic Algorithms
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.
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| Published in | Stochastic systems Vol. 5; no. 1; pp. 87 - 119 |
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| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
01.06.2015
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| Online Access | Get full text |
| ISSN | 1946-5238 1946-5238 |
| DOI | 10.1287/14-SSY138 |
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| Summary: | 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. |
|---|---|
| ISSN: | 1946-5238 1946-5238 |
| DOI: | 10.1287/14-SSY138 |