Approximations to Probabilistic Characteristics of Stochastic Differential Equations

Produkt bewerten

Jianbo Cui

▪Jialin Hong

▪Derui Sheng

Verlag:

Springer EN

Unsere-Artikel-Nr.: P34841261

EAN: 9789819588121

Erhältlich:

Nicht auf Lager

Zustellung: Do, 17.09.2026

Versand: Kostenlos

-11.9 %

CHF 109.–

CHF 96.–

Beschreibung

This book provides an overview of structure-preserving discrete approximations for the probabilistic characteristics of stochastic differential equations, which are essential for understanding stochastic systems in fields such as finance, physics, and engineering. It highlights recent advances in the study of key probabilistic features of discretized systems. In particular, this book presents methods for density approximation and examines the impact of numerical discretizations on hitting probabilities for stochastic ordinary and partial differential equations. The preservation of important asymptotic properties, such as large deviation principles and weak intermittency for parabolic stochastic partial differential equations, is also investigated. A distinctive feature of this book is its demonstration of Malliavin calculus and its adaptation to the analysis of probabilistic properties in discrete settings. This book is intended for graduate students and researchers with backgrounds in probability theory, stochastic analysis, and numerical analysis who are interested in the analysis and numerical approximation of stochastic differential equations.

Spezifikationen

Sprache

Englisch

Autor

Jianbo Cui
Jialin Hong
Derui Sheng

Zielgruppe

Research

Erscheinungsjahr

2026

Format

Buch (Softcover)

Anzahl Seiten