Monte Carlo convergence rates for kth moments in Banach spaces

DOI10.1016/J.JFA.2023.110218MaRDI QIDQ6184844zbMATH OpenOpenAlexFDO

Authors Kristin Kirchner, Christoph Schwab

Publication date 5 January 2024

Published in Journal of Functional Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2212.03797

zbMATH Keywords

multilevel Monte Carloinjective tensor productRademacher averagestype of Banach space

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probability theory on linear topological spaces (60B11) Spaces of linear operators; topological tensor products; approximation properties (46A32) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Abstract: We formulate standard and multilevel Monte Carlo methods for the $k$th moment $mathbb{M}_v^{k}arepsilon[xi]$ of a Banach space valued random variable $xicolonOmegaoE$, interpreted as an element of the $k$-fold injective tensor product space $otime{s}_v^{k}arepsilonE$. For the standard Monte Carlo estimator of $mathbb{M}_v^{k}arepsilon[xi]$, we prove the $k$-independent convergence rate $1-frac1p$ in the $L_q(Omega;otime{s}_v^{k}arepsilonE)$-norm, provided that (i) $xiin{L}_{kq}(Omega;E)$ and (ii) $qin[p,infty)$, where $pin[1,2]$ is the Rademacher type of $E$. We moreover derive corresponding results for multilevel Monte Carlo methods, including a rigorous error estimate in the $L_q(Omega;otime{s}_v^{k}arepsilonE)$-norm and the optimization of the computational cost for a given accuracy. Whenever the type of $E$ is $p=2$, our findings coincide with known results for Hilbert space valued random variables. We illustrate the abstract results by three model problems: second-order elliptic PDEs with random forcing or random coefficient, and stochastic evolution equations. In these cases, the solution processes naturally take values in non-Hilbertian Banach spaces. Further applications, where physical modeling constraints impose a setting in Banach spaces of type $p<2$, are indicated.

Recommendations

• Convergence in Hölder norms with applications to Monte Carlo methods in infinite dimensions
• Lower bounds for the complexity of Monte Carlo function approximation
• The Banach spaces \(\mathbf{F}_\psi (\Omega )\) of random variables
• On the randomized complexity of Banach space valued integration
• Higher moments of Banach space valued random variables

Cites work

• scientific article; zbMATH DE number 1716480 (Why is no real title available?)
• scientific article; zbMATH DE number 3911357 (Why is no real title available?)
• scientific article; zbMATH DE number 108480 (Why is no real title available?)
• scientific article; zbMATH DE number 3518027 (Why is no real title available?)
• scientific article; zbMATH DE number 1223843 (Why is no real title available?)
• scientific article; zbMATH DE number 1151360 (Why is no real title available?)
• scientific article; zbMATH DE number 2000348 (Why is no real title available?)
• scientific article; zbMATH DE number 1445887 (Why is no real title available?)
• A Posteriori Error Analysis of Finite Element Solutions for One-Dimensional Problems
• A Test for Normality of Observations and Regression Residuals
• A continuation multilevel Monte Carlo algorithm
• A multilevel Monte Carlo finite difference method for random scalar degenerate convection-diffusion equations
• A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
• A strong order 3/4 method for SDEs with discontinuous drift coefficient
• Analysis in Banach Spaces
• Analysis in Banach spaces. Volume II. Probabilistic methods and operator theory
• Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation
• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
• Approximation of SPDE covariance operators by finite elements: a semigroup approach
• Convergence analysis of multilevel Monte Carlo variance estimators and application for random obstacle problems
• Convergence and error analysis of compressible fluid flows with random data: Monte Carlo method
• Convergence in Hölder norms with applications to Monte Carlo methods in infinite dimensions
• Covariance structure of parabolic stochastic partial differential equations
• Covariance structure of parabolic stochastic partial differential equations with multiplicative Lévy noise
• Elliptic problems in nonsmooth domains
• Estimation of arbitrary order central statistical moments by the multilevel Monte Carlo method
• Finite element error analysis of elliptic PDEs with random coefficients and its application to multilevel Monte Carlo methods
• First-order \(k\)-th moment finite element analysis of nonlinear operator equations with stochastic data
• Functional Analysis
• Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
• Higher moments of Banach space valued random variables
• Improved multilevel Monte Carlo convergence using the Milstein scheme
• Isomorphic characterizations of inner product spaces by orthogonal series with vector valued coefficients
• Measures of multivariate skewness and kurtosis with applications
• Mixed finite element analysis of lognormal diffusion and multilevel Monte Carlo methods
• Monte-Carlo finite-volume methods in uncertainty quantification for hyperbolic conservation laws
• Multi-index Monte Carlo: when sparsity meets sampling
• Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
• Multilevel Monte Carlo Path Simulation
• Multilevel Monte Carlo method for parabolic stochastic partial differential equations
• Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
• Multilevel path simulation for jump-diffusion SDEs
• Numerical methods for the deterministic second moment equation of parabolic stochastic PDEs
• Numerical solution of scalar conservation laws with random flux functions
• On Dirichlet's boundary value problem. An \(L^p\)-theory based on a generalization of Garding's inequality
• Optimization of mesh hierarchies in multilevel Monte Carlo samplers
• Probability in Banach spaces. Isoperimetry and processes
• Regularity and convergence analysis in Sobolev and Hölder spaces for generalized Whittle-Matérn fields
• Slepian's inequality, modularity and integral orderings
• Sparse tensor multi-level Monte Carlo finite volume methods for hyperbolic conservation laws with random initial data
• Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
• Strong and weak approximation of semilinear stochastic evolution equations
• Strong and weak error estimates for elliptic partial differential equations with random coefficients
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• Strong convergence rates for explicit space-time discrete numerical approximations of stochastic Allen-Cahn equations
• The Mathematical Theory of Finite Element Methods
• The extension theorem for norms on symmetric tensor products of normed spaces
• The multi-level Monte Carlo finite element method for a stochastic Brinkman problem

This page was built for publication: Monte Carlo convergence rates for \(k\)th moments in Banach spaces

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6184844)