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Recent Developments in Stochastic Numerics and Computational Finance

This book presents a collection of recent advances in stochastic numerical analysis and computational finance. Stochastic numerical methods have played a pivotal role in probability theory, statistics, and applied mathematics, particularly in the rapidly evolving fields of machine learning and data...

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Korporativní autor: SpringerLink (Online service)
Další autoři: Akahori, Jiro (Editor), Ninomiya, Syoiti (Editor), Yamada, Toshihiro (Editor)
Médium: Elektronický zdroj E-kniha
Jazyk:angličtina
Vydáno: Singapore : Springer Nature Singapore : Imprint: Springer, 2025.
Vydání:1st ed. 2025.
Edice:ICIAM2023 Springer Series, 6
Témata:
Mathematics > Data processing.
Probabilities.
Computational Mathematics and Numerical Analysis.
Probability Theory.
On-line přístup:https://doi.org/10.1007/978-981-95-0652-1
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Obsah:
  • Chapter 1 Policy improvement algorithm for an optimal consumption and investment problem under a certain nonlinear stochastic factor model
  • Chapter 2 An extended Milstein scheme for effective weak approximation of diffusions
  • Chapter 3 Expansion of Bermudan option price using deep learning
  • Chapter 4 Approximation for stochastic PDES and the HJM Model
  • Chapter 5 On a Prolongation of the Nonlinear Stochastic Asymptotic Expansion of the Solution of a Semilinear PDE.

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