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.
Central limit theorems for stochastic approximation with controlled Markov chain dynamics
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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.