Establishes central limit theorems for the renormalized estimation errors of nested and multilevel stochastic approximation algorithms for VaR and ES, including averaged versions, with numerical illustration.
Convergence rate of linear two-time-scale stochastic approximation
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Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall
Establishes central limit theorems for the renormalized estimation errors of nested and multilevel stochastic approximation algorithms for VaR and ES, including averaged versions, with numerical illustration.