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math.PR2023
Controlled Martingale Problems And Their Markov Mimics
Siva Athreya, Vivek S. Borkar, Nitya Gadhiwala
In this article we prove under suitable assumptions that the marginals of any solution to a relaxed controlled martingale problem on a Polish space can be mimicked by a Markovi…
math.PR2023★ 1 cited
Functional Central Limit Theorem for Two Timescale Stochastic Approximation
Fathima Zarin Faizal, Vivek Borkar
Two time scale stochastic approximation algorithms emulate singularly perturbed deterministic differential equations in a certain limiting sense, i.e., the interpolated iterates on…
math.PR2023★ 2 cited
Remarks on Differential Inclusion limits of Stochastic Approximation
Vivek Borkar, Dhruv Shah
For stochastic approximation algorithms with discontinuous dynamics, it is shown that under suitable distributional assumptions, the interpolated iterates track a Fillipov solution…