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Continuous procedure of stochastic approximation in a semi-Markov medium

Authors:

Ya M Chabanyuk

Institution:

(1)

vivs

ka Politekhnika rdquo

National University, Lviv

Abstract:

Using the Lyapunov function for an averaged system, we establish conditions for the convergence of the procedure of stochastic approximation

$du\left( t \right) = a\left( t \right)\left {C\left( {u\left( t \right),x\left( t \right)} \right)dt + \sigma \left( {u\left( t \right)} \right)dw\left( t \right)} \right]$

in a random semi-Markov medium described by an ergodic semi-Markov process x(t).Translated from Ukrains rsquo

kyi Matematychnyi Zhurnal, Vol. 56, No. 5, pp. 713–720, May, 2004.

Keywords:

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