‎in this paper, we formulate the fourth order sturm-liouville problem (fslp) as a lie group matrix differential equation. by solving this ma- trix differential equation by lie group magnus expansion, we compute the eigenvalues of the fslp. the magnus expansion is an infinite series of multiple integrals of lie brackets. the approximation is, in fact, the truncation of magnus expansion and a gauss...

An asymptotic expansion scheme in finance initiated by Kunitomo and Takahashi [15] and Yoshida[68] is a widely applicable methodology for analytic approximation of the expectation of a certain functional of diffusion processes. [46], [47] and [53] provide explicit formulas of conditional expectations necessary for the asymptotic expansion up to the third order. In general, the crucial step in p...

We investigate the β-expansion of an algebraic number in an algebraic base β. Using tools from Diophantine approximation, we prove several results that may suggest a strong difference between the asymptotic behaviour of eventually periodic expansions and that of non-eventually periodic expansions.

Georg introduced a new kind of trapezoidal rule and midpoint rule to approximate a surface integral over a curved triangular surface and conjectured the existence of an asymptotic expansion for this approximation as the subdivision of the surface gets finer. The purpose of this paper is to prove the conjecture.

This paper develops a rigorous asymptotic expansion method with its numerical scheme for the Cauchy-Dirichlet problem in second order parabolic partial differential equations (PDEs). As an application, we propose a new approximation formula for pricing a barrier option under a certain type of stochastic volatility model including the log-normal SABR model.

A symmetric finite volume element scheme on quadrilateral grids is established for a class of elliptic problems. The asymptotic error expansion of finite volume element approximation is obtained under rectangle grids, which in turn yields the error estimates and superconvergence of the averaged derivatives. Numerical examples confirm our theoretical analysis.

Let $W_n := \sum_{j=1}^n Z_j$ be a sum of independent integer-valued random variables. In this paper, we derive an asymptotic expansion for the probability $\mathbb{P}[W_n \in A]$ of an arbitrary subset $A \in \mathbb{Z}$. Our approximation improves upon the classical expansions by including an explicit, uniform error estimate, involving only easily computable properties of the distributions of...

We study the Cauchy problem for a nonlinear damped wave equation. Under suitable assumptions for the nonlinearity and the initial data, we obtain the global solution which satisfies weighted L and L∞ estimates. Furthermore, we establish the higher order asymptotic expansion of the solution. This means that we construct the nonlinear approximation of the global solution with respect to the weigh...

Given the wavelet expansion of a function v, a non-linear adaptive approximation of v is obtained by neglecting those coeecients whose size drops below a certain threshold. We propose several ways to deene the threshold: all are based on the characterization of the local regularity of v (in a Sobolev or Besov scale) in terms of summability of properly deened subsets of its coeecients. A-priori ...

We study the asymptotic expansion of the neutral-atom energy as the atomic number Z-->infinity, presenting a new method to extract the coefficients from oscillating numerical data. Recovery of the correct expansion yields a condition on the Kohn-Sham kinetic energy that is important for the accuracy of approximate kinetic energy functionals for atoms, molecules, and solids. For example, this de...