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math.PR2023★ 1 cited
Local Limit Theorems and Strong Approximations for Robbins-Monro Procedures
Valentin Konakov, Enno Mammen, Lorick Huang
The Robbins-Monro algorithm is a recursive, simulation-based stochastic procedure to approximate the zeros of a function that can be written as an expectation. It is known that und…
math.PR2006
Accuracy of Diffusion Approximations for High Frequency Markov Data
Valentin Konakov, Enno Mammen
We consider triangular arrays of Markov chains that converge weakly to a diffusion process. Edgeworth type expansions of third order for transition densities are proved. This is do…