Description

Book Synopsis

Approximating the signature of Brownian motion for high order SDE simulation.- Randomisation of rough stochastic differential equations.- A Canonical Signature-Based Feature Set for Multivariate Time Series Classification.- Twin Brownian particle method for the study of Oberbeck-Boussinesq fluid flows.- Lower Bounds for the Support of Cubature Measures on Wiener Space and Optimal Degree-five Constructions.- Free Groups and Signatures.- A representation for the Expected Signature of Brownian motion up to the first exit time of the planar unit disc.- Asymptotic expansions of central limit distances in Vaserstein metrics.- A neural RDE-based model for solving path-dependent parabolic PDEs.- A Data-driven Market Simulator for Small Data Environments.- Mimicking and Conditional Control with Hard Killing.- Continuous random field solutions to parabolic SPDEs on p.c.f. fractals.- Pricing American options under rough volatility using signatures.- A new architecture of high-order deep neural networks that learn martingales.- Permutation recovery of spikes in noisy high-dimensional tensor estimation.- A User’s Guide to KSig: GPU-Accelerated Computation of the Signature Kernel.

Stochastic Analysis and Applications 2025

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    A Hardback by Dan Crisan

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      View other formats and editions of Stochastic Analysis and Applications 2025 by Dan Crisan

      Publisher: Springer
      Publication Date: 21/11/2025
      ISBN13: 9783032039132, 978-3032039132
      ISBN10:

      Description

      Book Synopsis

      Approximating the signature of Brownian motion for high order SDE simulation.- Randomisation of rough stochastic differential equations.- A Canonical Signature-Based Feature Set for Multivariate Time Series Classification.- Twin Brownian particle method for the study of Oberbeck-Boussinesq fluid flows.- Lower Bounds for the Support of Cubature Measures on Wiener Space and Optimal Degree-five Constructions.- Free Groups and Signatures.- A representation for the Expected Signature of Brownian motion up to the first exit time of the planar unit disc.- Asymptotic expansions of central limit distances in Vaserstein metrics.- A neural RDE-based model for solving path-dependent parabolic PDEs.- A Data-driven Market Simulator for Small Data Environments.- Mimicking and Conditional Control with Hard Killing.- Continuous random field solutions to parabolic SPDEs on p.c.f. fractals.- Pricing American options under rough volatility using signatures.- A new architecture of high-order deep neural networks that learn martingales.- Permutation recovery of spikes in noisy high-dimensional tensor estimation.- A User’s Guide to KSig: GPU-Accelerated Computation of the Signature Kernel.

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