Asymptotic Expansion and Weak Approximation : Applications of Malliavin Calculus and Deep Learning / / by Akihiko Takahashi, Toshihiro Yamada
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| Autore: |
Takahashi Akihiko
|
| Titolo: |
Asymptotic Expansion and Weak Approximation : Applications of Malliavin Calculus and Deep Learning / / by Akihiko Takahashi, Toshihiro Yamada
|
| Pubblicazione: | Singapore : , : Springer Nature Singapore : , : Imprint : Springer, , 2025 |
| Edizione: | 1st ed. 2025. |
| Descrizione fisica: | 1 online resource (177 pages) |
| Disciplina: | 519.5 |
| Soggetto topico: | Statistics |
| Mathematical statistics - Data processing | |
| Statistical Theory and Methods | |
| Statistics and Computing | |
| Applied Statistics | |
| Probabilitats | |
| Processos estocàstics | |
| Soggetto genere / forma: | Llibres electrònics |
| Altri autori: |
YamadaToshihiro
|
| Nota di contenuto: | Chapter 1. Introduction -- Chapter 2. Itô calculus -- Chapter 3. Malliavin calculus -- Chapter 4. Asymptotic expansion -- Chapter 5. Weak approximation -- Chapter 6. Application: Deep learning-based weak approximation. |
| Sommario/riassunto: | 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. |
| Titolo autorizzato: | Asymptotic Expansion and Weak Approximation |
| ISBN: | 981-9682-80-0 |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9911031564503321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
JSS Research Series in Statistics, . 2364-0065