Asymptotic Expansion and Weak Approximation: Applications of Malliavin Calculus and Deep Learning

di Akihiko Takahashi (Autore)

Toshihiro Yamada (Autore)

Springer Nature Switzerland AG, 2025

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.

• Autore: Akihiko Takahashi, Toshihiro Yamada
• Editore: Springer Nature Switzerland AG
• Collana: SpringerBriefs in Statistics
• Anno: 2025
• Rilegatura: Paperback / softback
• Pagine: 97 p.
• Dimensioni: 235 x 155 mm
• EAN: 9789819682799

Testo in English