Asymptotic Expansions for High-Frequency Option Data

Asymptotic expansions for high-contrast elliptic equations

In this paper, we present a high-order expansion for elliptic equations in highcontrast media. The background conductivity is taken to be one and we assume the medium contains high (or low) conductivity inclusions. We derive an asymptotic expansion with respect to the contrast and provide a procedure to compute the terms in the expansion. The computation of the expansion does not depend on the ...

Asymptotic Expansions for Integrals

Asymptotic Expansions

Asymptotic expansions of functions are useful in statistics in three main ways. Firstly, conventional asymptotic expansions of special functions are useful for approximate computation of integrals arising in statistical calculations. An example given below is the use of Stirling's approximation to the gamma function. Second, asymptotic expansions of density or distribution functions of estimato...

Asymptotic Expansions for Nonlocal Diffusion

We study the asymptotic behavior for solutions to nonlocal diffusion models of the form ut = J ∗ u − u in the whole R with an initial condition u(x, 0) = u0(x). Under suitable hypotheses on J (involving its Fourier transform) and u0, it is proved an expansion of the form ∥∥u(u)− ∑ |α|≤k (−1)|α| α! ( ∫ u0(x)x dx ) ∂Kt ∥∥ Lq(Rd) ≤ Ct−A, where Kt is the regular part of the fundamental solution and...

Asymptotic Expansions for Fixed Width

A sequential procedure for setting a fixed width confidence interval for the natural parameter of an exponential family is proposed and studied. Average confidence levels are considered instead of the classical confidence curves. The procedure is shown to perform very well in a simulation study. AMS Subject Classification: 62L12.