Stochastic Approximation Procedures for Lévy-Driven SDEs
Work
Year: 2023
Type: article
Abstract: We consider a continuous-time Robbins–Monro-type stochastic approximation procedure for a system described by a (multidimensional) stochastic differential equation driven by a general Lévy process, a... more
Authors Jan Seidler, Ondřej Týbl
Cites: 17
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Related to: 10
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Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
APC paid (est): $2,990