Stéphane Crépey, Noufel Frikha, Azar Louzi, Jonathan Spence
{"title":"风险价值的自适应多级随机近似值","authors":"Stéphane Crépey, Noufel Frikha, Azar Louzi, Jonathan Spence","doi":"arxiv-2408.06531","DOIUrl":null,"url":null,"abstract":"Cr\\'epey, Frikha, and Louzi (2023) introduced a multilevel stochastic\napproximation scheme to compute the value-at-risk of a financial loss that is\nonly simulatable by Monte Carlo. The optimal complexity of the scheme is in\n$O({\\varepsilon}^{-5/2})$, ${\\varepsilon} > 0$ being a prescribed accuracy,\nwhich is suboptimal when compared to the canonical multilevel Monte Carlo\nperformance. This suboptimality stems from the discontinuity of the Heaviside\nfunction involved in the biased stochastic gradient that is recursively\nevaluated to derive the value-at-risk. To mitigate this issue, this paper\nproposes and analyzes a multilevel stochastic approximation algorithm that\nadaptively selects the number of inner samples at each level, and proves that\nits optimal complexity is in $O({\\varepsilon}^{-2}|\\ln {\\varepsilon}|^{5/2})$.\nOur theoretical analysis is exemplified through numerical experiments.","PeriodicalId":501128,"journal":{"name":"arXiv - QuantFin - Risk Management","volume":"12 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Adaptive Multilevel Stochastic Approximation of the Value-at-Risk\",\"authors\":\"Stéphane Crépey, Noufel Frikha, Azar Louzi, Jonathan Spence\",\"doi\":\"arxiv-2408.06531\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Cr\\\\'epey, Frikha, and Louzi (2023) introduced a multilevel stochastic\\napproximation scheme to compute the value-at-risk of a financial loss that is\\nonly simulatable by Monte Carlo. The optimal complexity of the scheme is in\\n$O({\\\\varepsilon}^{-5/2})$, ${\\\\varepsilon} > 0$ being a prescribed accuracy,\\nwhich is suboptimal when compared to the canonical multilevel Monte Carlo\\nperformance. This suboptimality stems from the discontinuity of the Heaviside\\nfunction involved in the biased stochastic gradient that is recursively\\nevaluated to derive the value-at-risk. To mitigate this issue, this paper\\nproposes and analyzes a multilevel stochastic approximation algorithm that\\nadaptively selects the number of inner samples at each level, and proves that\\nits optimal complexity is in $O({\\\\varepsilon}^{-2}|\\\\ln {\\\\varepsilon}|^{5/2})$.\\nOur theoretical analysis is exemplified through numerical experiments.\",\"PeriodicalId\":501128,\"journal\":{\"name\":\"arXiv - QuantFin - Risk Management\",\"volume\":\"12 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-08-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Risk Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2408.06531\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Risk Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2408.06531","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Adaptive Multilevel Stochastic Approximation of the Value-at-Risk
Cr\'epey, Frikha, and Louzi (2023) introduced a multilevel stochastic
approximation scheme to compute the value-at-risk of a financial loss that is
only simulatable by Monte Carlo. The optimal complexity of the scheme is in
$O({\varepsilon}^{-5/2})$, ${\varepsilon} > 0$ being a prescribed accuracy,
which is suboptimal when compared to the canonical multilevel Monte Carlo
performance. This suboptimality stems from the discontinuity of the Heaviside
function involved in the biased stochastic gradient that is recursively
evaluated to derive the value-at-risk. To mitigate this issue, this paper
proposes and analyzes a multilevel stochastic approximation algorithm that
adaptively selects the number of inner samples at each level, and proves that
its optimal complexity is in $O({\varepsilon}^{-2}|\ln {\varepsilon}|^{5/2})$.
Our theoretical analysis is exemplified through numerical experiments.