This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula and the duality formula in Malliavin calculus are effectively applied in an asymptotic expansion approach. First, the paper derives an asymptotic expansion for generalized Wiener functionals. After it is appl...

SUMMARY This paper investigates the finite sample distribution of the least squares estimator of the autoregressive parameter in a first-order autoregressive model. Uniform asymptotic expansion for the distribution applicable to both stationary and nonstationary cases is obtained. Accuracy of approximation to the distribution by a first few terms of this expansion is then investigated. It is fo...

We propose a simple, direct approach for computing the expected cost of random partial match queries in random quadtrees. The approach gives not only an explicit expression for the leading constant in the asymptotic approximation of the expected cost but also more terms in the asymptotic expansion if desired.

The Bethe approximation, discovered in statistical physics, gives an efficient algorithm called belief propagation (BP) for approximating a partition function. BP empirically gives an accurate approximation for many problems, e.g., low-density parity-check codes, compressed sensing, etc. Recently, Vontobel gives a novel characterization of the Bethe approximation using graph cover. In this pape...

Batch-arrival queueing models can be used in 1) many practical situations, such as the analysis of message packetization in data communication systems. In general it is difficult, if not impossible, to find tractable expressions for the waiting-time probabilities of individual customers. It is, therefore, useful to have easily computable approximations for these probabilities. This paper gives ...

We propose a variant of the numerical method of steepest descent for oscillatory integrals by using a low-cost explicit polynomial approximation of the paths of steepest descent. A loss of asymptotic order is observed, but in the most relevant cases the overall asymptotic order remains higher than a truncated asymptotic expansion at similar computational effort. Theoretical results based on num...

We derive expansion results in order to approximate the law of the average of the marginal of diffusion processes. The average is computed w.r.t. a general parameter that is involved in the diffusion dynamics. Our approximation is based on the use of proxys with normal distribution or log-normal distribution, so that the expansion terms are explicit. We provide non asymptotic error bounds, whic...

In survival or reliability studies, the mean residual life or life expectancy is an important characteristic of the model. Here, we study the limiting behaviour of the mean residual life, and derive an asymptotic expansion which can be used to obtain a good approximation for large values of the time variable. The asymptotic expansion is valid for a quite general class of failure rate distributi...

We define the notion of Bernstein measures and Bernstein approximations over general convex polytopes. This generalizes well-known Bernstein polynomials which are used to prove the Weierstrass approximation theorem on one dimensional intervals. We discuss some properties of Bernstein measures and approximations, and prove an asymptotic expansion of the Bernstein approximations for smooth functi...