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The dynamic system method and the traps
Published online by Cambridge University Press: 01 July 2016
Abstract
We transpose the ordinary differential equation method (used for decreasing stepsize stochastic algorithms) to a dynamical system method to study dynamical systems disturbed by a noise decreasing to zero. We prove that such an algorithm does not fall into a regular trap if the noise is exciting in an unstable direction.
MSC classification
- Type
- General Applied Probability
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- Copyright © Applied Probability Trust 1998
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