Monte Carlo convergence rates for kth moments in Banach spaces

DOI10.1016/J.JFA.2023.110218arXiv2212.03797OpenAlexW4387873374MaRDI QIDQ6184844FDOQ6184844

Authors: Kristin Kirchner, Christoph Schwab 

Publication date: 5 January 2024

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

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.

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

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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)

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