  The semimartingale stochastic approximation procedure, namely, the
Robbins-Monro type SDE is introduced which naturally includes both generalized
stochastic approximation algorithms with martingale noises and recursive
parameter estimation procedures for statistical models associated with
semimartingales. General results concerning the asymptotic behaviour of the
solution are presented. In particular, the conditions ensuring the convergence,
rate of convergence and asymptotic expansion are established. The results
concerning the Polyak weighted averaging procedure are also presented.
