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Uspekhi Mat. Nauk, 1996, Volume 51, Issue 5(311), Pages 43–136 (Mi umn1013)  

This article is cited in 9 scientific papers (total in 9 papers)

Stochastic differential equations: singularity of coefficients, regression models, and stochastic approximation

A. V. Melnikov

Steklov Mathematical Institute, Russian Academy of Sciences

DOI: https://doi.org/10.4213/rm1013

Full text: PDF file (668 kB)
References: PDF file   HTML file

English version:
Russian Mathematical Surveys, 1996, 51:5, 819–909

Bibliographic databases:

UDC: 519.21
MSC: 65C30, 62L20, 62J05, 60G44
Received: 24.05.1996

Citation: A. V. Melnikov, “Stochastic differential equations: singularity of coefficients, regression models, and stochastic approximation”, Uspekhi Mat. Nauk, 51:5(311) (1996), 43–136; Russian Math. Surveys, 51:5 (1996), 819–909

Citation in format AMSBIB
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    Citing articles on Google Scholar: Russian citations, English citations
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    This publication is cited in the following articles:
    1. Bharath B., Borkar V.S., “Stochastic approximation algorithms: overview and recent trends”, Sādhanā, 24:4-5 (1999), 425–452  crossref  mathscinet  zmath  isi  scopus
    2. Valkeila E., Melnikov A.V., “Martingale models of stochastic approximation and their convergence”, Theor. Probability Appl., 44:2 (1999), 333–360  mathnet  crossref  crossref  mathscinet  zmath  isi
    3. Levakov, AA, “Existence theorems for strong solutions of stochastic differential and generalized differential equations”, Differential Equations, 35:1 (1999), 83  mathnet  mathscinet  zmath  isi
    4. Levakov, AA, “Existence theorems for solutions of stochastic differential equations with discontinuous right-hand sides”, Differential Equations, 36:1 (2000), 56  mathnet  crossref  mathscinet  zmath  isi  scopus
    5. Galtchouk L., Konev V., “On sequential estimation of parameters in semimartingale regression models with continuous time parameter”, Ann. Statist., 29:5 (2001), 1508–1536  crossref  mathscinet  zmath  isi  elib  scopus
    6. Ali Foroush Bastani, Mahdieh Tahmasebi, “Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift”, Journal of Computational and Applied Mathematics, 2011  crossref  mathscinet  isi  scopus
    7. Chao Yue, Chengming Huang, Fengze Jiang, “Strong convergence of split-step theta methods for non-autonomous stochastic differential equations”, International Journal of Computer Mathematics, 2014, 1  crossref  mathscinet  scopus
    8. A. S. Kochurov, “Inequalities between the norms of a function and its derivatives”, Eurasian Math. J., 7:1 (2016), 28–49  mathnet
    9. Abdelghani M., Melnikov A., “A Comparison Theorem For Stochastic Equations of Optional Semimartingales”, Stoch. Dyn., 18:4 (2018), 1850029  crossref  mathscinet  zmath  isi  scopus
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