Large Deviations of Empirical Estimates in the Stochastic Programming Problem with Nonstationary Observations and Continuous Time
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DOI: 10.1007/s10559-019-00187-8
Abstract: The paper considers a stochastic programming problem with the empirical function constructed based on nonstationary observations and continuous time. A random process, stationary in a narrow sense and satisfying the strong mixing condition is investigated… read more here.
Keywords: programming problem; stochastic programming; nonstationary observations; observations continuous ... See more keywords