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商品詳細
Asymptotic Expansion and Weak Approximation : Applications of Malliavin Calculus and Deep Learning.
・ISBN 978-981-9682-79-9 paper EUR 44.99
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| 著者・編者 | Takahashi, Akihiko / Yamada, Toshihiro, |
|---|---|
| シリーズ | JSS Research Series in Statistics |
| 出版社 | (Springer Nature Switzerland AG, SZ) |
| 出版年月 | 2025 |
| ページ数 | 97 pp. |
| 言語 | ENG |
| ニュース番号 | ＜M25-16083＞ |
解説
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.