We establish sufficient conditions for the convergence of the procedure of stochastic approximation for the diffusion process in the case of a uniformly ergodic semi-Markov process of switchings of the regression function with the use of a small parameter in the scheme of series.
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Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 70, No. 11, pp. 1563–1570, November, 2018.
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Chabanyuk, Y., Rosa, W. Procedure of Stochastic Approximation for the Diffusion Process with Semi-Markov Switchings. Ukr Math J 70, 1803–1811 (2019). https://doi.org/10.1007/s11253-019-01608-9
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DOI: https://doi.org/10.1007/s11253-019-01608-9