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Using tools from spectral analysis, singular and regular perturbation theory, we develop a systematic method for analytically computing the approximate price of a derivative-asset. The payoff of the derivative-asset may be path-dependent.…

Computational Finance · Quantitative Finance 2012-04-09 Matthew Lorig

We use functions of a bicomplex variable to unify the existing constructions of harmonic morphisms from a 3-dimensional Euclidean or pseudo-Euclidean space to a Riemannian or Lorentzian surface. This is done by using the notion of…

Differential Geometry · Mathematics 2010-03-12 Paul Baird , John C. Wood

This paper presents a decomposition method for solving elliptic boundary value problems in one-dimension. The method is an improvement to an existing technique for approximating elliptic systems. It is demonstrated to be computationally…

Analysis of PDEs · Mathematics 2024-10-10 Christian O. Bernal Zelaya , Prosper Torsu

This survey paper discusses the history of approximation formulas for n-th order derivatives by integrals involving orthogonal polynomials. There is a large but rather disconnected corpus of literature on such formulas. We give some results…

Classical Analysis and ODEs · Mathematics 2021-01-19 Enno Diekema , Tom H. Koornwinder

This article continues and completes our previous work [14] J. Phys. Commun. 2 (2018) 025007. First of all, we present two methods of quantization associated with a linear connection given on a differentiable manifold, one of them being the…

Mathematical Physics · Physics 2020-12-04 J Muñoz-Díaz , RJ Alonso-Blanco

Complex polynomial optimization has recently gained more and more attention in both theory and practice. In this paper, we study the optimization of a real-valued general conjugate complex form over various popular constraint sets including…

Optimization and Control · Mathematics 2016-12-08 Taoran Fu , Bo Jiang , Zhening Li

Let $(X,\omega)$ be a compact K\"ahler manifold of dimension $n$ and fix $m\in \mathbb{N}$ such that $1\leq m \leq n$. We prove that any $(\omega,m)$-sh function can be approximated from above by smooth $(\omega,m)$-sh functions. A…

Complex Variables · Mathematics 2014-02-24 Chinh H. Lu , Van-Dong Nguyen

Ordinary Differential Equations are generally too complex to be solved analytically. Approximations thereof can be obtained by general purpose numerical methods. However, even though accurate schemes have been developed, they remain…

Numerical Analysis · Mathematics 2023-04-19 Maxime Bouchereau , Philippe Chartier , Mohammed Lemou , Florian Méhats

This paper introduces a novel algorithmic solution for the approximation of a given multivariate function by a nomographic function that is composed of a one-dimensional continuous and monotone outer function and a sum of univariate…

Information Theory · Computer Science 2015-07-14 Steffen Limmer , Jafar Mohammadi , Slawomir Stanczak

This paper presents two methods for approximating a proper subset of the entries of a Hessian using only function evaluations. These approximations are obtained using the techniques called \emph{generalized simplex Hessian} and…

Numerical Analysis · Mathematics 2025-05-14 Gabriel Jarry-Bolduc , Chayne Planiden

In the case of smooth manifolds, we use Forman's discrete Morse theory to realize combinatorially any Thom-Smale complex coming from a smooth Morse function by a couple triangulation-discrete Morse function. As an application, we prove that…

Geometric Topology · Mathematics 2008-12-18 Etienne Gallais

In this paper, we propose a simple acceleration scheme for Riemannian gradient methods by extrapolating iterates on manifolds. We show when the iterates are generated from Riemannian gradient descent method, the accelerated scheme achieves…

Optimization and Control · Mathematics 2022-08-16 Andi Han , Bamdev Mishra , Pratik Jawanpuria , Junbin Gao

We discuss some aspects of approximating functions on high-dimensional data sets with additive functions or ANOVA decompositions, that is, sums of functions depending on fewer variables each. It is seen that under appropriate smoothness…

Data Structures and Algorithms · Computer Science 2009-11-17 Markus Hegland , Vladimir Pestov

This paper presents and investigates an inexact proximal gradient method for solving composite convex optimization problems characterized by an objective function composed of a sum of a full-domain differentiable convex function and a…

Optimization and Control · Mathematics 2025-04-16 Yunier Bello-Cruz , Max L. N. Gonçalves , Jefferson G. Melo , Cassandra Mohr

We seek random versions of some classical theorems on complex approximation by polynomials and rational functions, as well as investigate properties of random compact sets in connection to complex approximation.

Complex Variables · Mathematics 2017-09-26 Simon St-Amant , Jérémie Turcotte

We give a derivation of the method of conjugate gradients based on the requirement that each iterate minimizes a strictly convex quadratic on the space spanned by the previously observed gradients. Rather than verifying that the search…

Optimization and Control · Mathematics 2021-04-02 David Ek , Anders Forsgren

This paper presents a new derivative parsing algorithm for parsing expression grammars; this new algorithm is both simpler and faster than the existing parsing expression derivative algorithm presented by Moss. This new algorithm improves…

Formal Languages and Automata Theory · Computer Science 2018-08-28 Aaron Moss

Provided a special function of one variable and some of its derivatives can be accurately computed over a finite range, a method is presented to build a series of polynomial approximations of the function with a defined relative error over…

Computational Physics · Physics 2007-05-23 C. Semay

Recently, we have proposed a new diffusive representation for fractional derivatives and, based on this representation, suggested an algorithm for their numerical computation. From the construction of the algorithm, it is immediately…

Numerical Analysis · Mathematics 2022-04-12 Kai Diethelm

In this paper, we derive new estimates for the remainder term of the midpoint, trapezoid, and Simpson formulae for functions whose derivatives in absolute value at certain power are quasi-convex. Some applications to special means of real…

Classical Analysis and ODEs · Mathematics 2012-07-12 Imdat Iscan