Asymptotic Expansion and Weak Approximation

Asymptotic Expansion and Weak Approximation

Applications of Malliavin Calculus and Deep Learning

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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 p...