12-13 November 2018
Toulouse School of Economics
Europe/Paris timezone

Local limit theorem for Robbins Monro algorithms

13 Nov 2018, 09:30
1h
Bât S, amphi MS001 (Toulouse School of Economics)

Bât S, amphi MS001

Toulouse School of Economics

Manufacture des Tabacs, 21, Allée de Brienne 31015 Toulouse Cedex 6 FRANCE

Speaker

Lorick Huang (INSA / IMT)

Description

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 under some technical assumptions, a Gaussian convergence can be established for the procedure. Here, we are interested in the local limit theorem, that is, quantifying this convergence on the density of the involved objects. The analysis relies on a parametric technique for Markov chains converging to diffusions, where the drift is unbounded.

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