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Randomized Lagrangian stochastic approximation for large-scale constrained stochastic Nash games
In this paper, we consider stochastic monotone Nash games where each player’s strategy set is characterized by possibly a large number of explicit...
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Discrete approximation for two-stage stochastic variational inequalities
In this paper, the discrete approximation of two-stage stochastic variational inequalities has been investigated when the second stage problem has...
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Deterministic Approximation of a Stochastic Imitation Dynamics with Memory
We provide results of a deterministic approximation for non-Markovian stochastic processes modeling finite populations of individuals who recurrently...
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Approximation algorithms for stochastic online matching with reusable resources
We consider a class of stochastic online matching problems, where a set of sequentially arriving jobs are to be matched to a group of workers. The...
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Stochastic Approximation Procedures for Lévy-Driven SDEs
We consider a continuous-time Robbins–Monro-type stochastic approximation procedure for a system described by a (multidimensional) stochastic...
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Exact Calculation of the Approximation Error of Multiple Itô Stochastic Integrals1
AbstractIn the article, formulas for exact calculation of the approximation error of multiple Itô stochastic integrals based on an orthogonal...
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A branching particle system approximation for solving partially observed stochastic optimal control problems via stochastic maximum principle
This paper develops an efficient numerical algorithm for solving a class of partially observed stochastic optimal control problems with correlated...
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Numerical approximation of the stochastic Navier–Stokes equations through artificial compressibility
A constructive numerical approximation of the two-dimensional unsteady stochastic Navier–Stokes equations of an incompressible fluid is proposed via...
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Polyak’s Method Based on the Stochastic Lyapunov Function for Justifying the Consistency of Estimates Produced by a Stochastic Approximation Search Algorithm under an Unknown-but-Bounded Noise
AbstractIn 1976–1977, Polyak published in the journal Avtomatica i Telemekhanika (Automation and Remote Control) two remarkable papers on how to...
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First order asymptotics of the sample average approximation method to solve risk averse stochastic programs
We investigate statistical properties of the optimal value of the Sample Average Approximation of stochastic programs, continuing the study...
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Determining the Height of Energy Barriers of the Cyclohexene Molecule Using Stochastic Approximation
AbstractThe Monte Carlo method (stochastic approximation) is used for calculating the relative values of density of the states of the cyclohexene...
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A unified stochastic approximation framework for learning in games
We develop a flexible stochastic approximation framework for analyzing the long-run behavior of learning in games (both continuous and finite). The...
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Rate of Convergence in the Smoluchowski-Kramers Approximation for Mean-field Stochastic Differential Equations
In this paper we study a second-order mean-field stochastic differential systems describing the movement of a particle under the influence of a...
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An Approximation Method for Stochastic Heat Equation Driven by White Noise
This paper deals with the study of a class of stochastic heat equation using the operational matrix of integration and stochastic integration based...
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Discrete Approximation and Convergence Analysis for a Class of Decision-Dependent Two-Stage Stochastic Linear Programs
Customary stochastic programming with recourse assumes that the probability distribution of random parameters is independent of decision variables....
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Picard Approximation of a Singular Backward Stochastic Nonlinear Volterra Integral Equation
In this paper we prove that Picard iterations of BSDEs with globally Lipschitz continuous nonlinearities converge exponentially fast to the solution....
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Convergence of Weak Euler Approximation for Nondegenerate Stochastic Differential Equations Driven by Point and Martingale Measures
This paper studies the weak Euler approximation for solutions to stochastic differential equations (SDEs) driven by point and martingale measures,...
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Modulation Instability and Convergence of the Random-Phase Approximation for Stochastic Sea States
The nonlinear Schrödinger equation is widely used as an approximate model for the evolution in time of the water wave envelope. In the context of...
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Numerical approximation of nonlinear stochastic Volterra integral equation based on Walsh function
This paper adopts a highly effective numerical approach for approximating non-linear stochastic Volterra integral equations (NLSVIEs) based on the...
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Explicit Approximation of Invariant Measure for Stochastic Delay Differential Equations with the Nonlinear Diffusion Term
To our knowledge, existing measure approximation theory requires the diffusion term of the stochastic delay differential equations (SDDEs) to be...
