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Asymptotic Expansion and Weak Approximation
Applications of Malliavin Calculus and Deep Learning
Akihiko Takahashi, Toshihiro Yamada
Livre broché | Anglais
76,45 €
+ 152 points
Description
This book provides a self-contained lecture on a Malliavin calculus approach to asymptotic expansion and weak approximation of stochastic differential equations (SDEs), along with numerical methods for computing parabolic partial differential equations (PDEs).
Constructions of weak approximation and asymptotic expansion are given in detail using Malliavin's integration by parts with theoretical convergence analysis.
Weak approximation algorithms and Python codes are available with numerical examples.
Moreover, the weak approximation scheme is effectively applied to high-dimensional nonlinear problems without suffering from the curse of dimensionality
through combining with a deep learning method.
Readers including graduate-level students, researchers, and practitioners can understand both theoretical and applied aspects of recent developments of asymptotic expansion and weak approximation.
Constructions of weak approximation and asymptotic expansion are given in detail using Malliavin's integration by parts with theoretical convergence analysis.
Weak approximation algorithms and Python codes are available with numerical examples.
Moreover, the weak approximation scheme is effectively applied to high-dimensional nonlinear problems without suffering from the curse of dimensionality
through combining with a deep learning method.
Readers including graduate-level students, researchers, and practitioners can understand both theoretical and applied aspects of recent developments of asymptotic expansion and weak approximation.
Spécifications
Parties prenantes
- Auteur(s) :
- Editeur:
Contenu
- Nombre de pages :
- 97
- Langue:
- Anglais
Caractéristiques
- EAN:
- 9789819682799
- Date de parution :
- 03-10-25
- Format:
- Livre broché
- Format numérique:
- Trade paperback (VS)
- Dimensions :
- 156 mm x 234 mm
- Poids :
- 167 g
Seulement chez Librairie Club
+ 152 points sur votre carte client de Librairie Club
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