Large Deviations of Empirical Estimates in the Stochastic Programming Problem with Nonstationary Observations and Continuous Time
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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 in the problem. The conditions under which the empirical estimate is consistent are given and large deviations of the estimate are considered.
Keywordsstochastic programming problem stationary ergodic random process strong mixing condition large deviations
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