Transport-entropy Inequalities and Deviation Estimates for Stochastic Approximations Schemes

@inproceedings{Fathi2013TransportentropyIA,
  title={Transport-entropy Inequalities and Deviation Estimates for Stochastic Approximations Schemes},
  author={Max Fathi and Noufel Frikha},
  year={2013}
}
Abstract. We obtain new transport-entropy inequalities and, as a by-product, new deviation estimates for the laws of two kinds of discrete stochastic approximation schemes. The first one refers to the law of an Euler like discretization scheme of a diffusion process at a fixed deterministic date and the second one concerns the law of a stochastic approximation algorithm at a given time-step. Our results notably improve and complete those obtained in [FM12]. The key point is to properly quantify… CONTINUE READING

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