相关论文: On the valuation of arithmetic-average Asian optio…
We want to select the best systems out of a given set of systems (or rank them) with respect to their expected performance. The systems allow random observations only and we assume that the joint observation of the systems has a…
Large set of linear equations, especially for sparse and structured coefficient (matrix) equations, solutions using classical methods become arduous. And evolutionary algorithms have mostly been used to solve various optimization and…
We represent the Euler alternating series (sometimes called the "Dirichlet eta function"), and generally $(b^s-b)\zeta(s)/b^s$ for $b>1$ an integer, in the half-plane $\Re s>0$, via series dominated by geometric series, with arbitrarily…
We present a novel numerical method, called {\tt Jacobi-predictor-corrector approach}, for the numerical solution of fractional ordinary differential equations based on the polynomial interpolation and the Gauss-Lobatto quadrature w.r.t.…
As well known, all functionals of a Markov process may be expressed in terms of the generator operator, modulo some analytic work. In the case of spectrally negative Markov processes however, it is conjectured that everything can be…
The integral representation of the Hadamard product of two functions is used to prove several Euler-type series transformation formulas. As applications we obtain three binomial identities involving harmonic numbers and an identity for the…
This paper compares two basic approaches to solving ordinary differential equations, which form the basis for attitude computation in strapdown inertial navigation systems, namely, the Taylor series expansion approach that was used in its…
Starting from one-range addition theorems for Slater-type functions, which are expansion in terms of complete and orthonormal functions based on the generalized Laguerre polynomials, Guseinov constructed addition theorems that are…
The paper focuses on pricing European-style options on several underlying assets under the Black-Scholes model represented by a nonstationary partial differential equation. The proposed method combines the Galerkin method with…
To broaden the range of applicability of variable-order fractional differential models, reliable numerical approaches are needed to solve the model equation. In this paper, we develop Laguerre spectral collocation methods for solving…
We study estimation of a multivariate function $f:\mathbf{R}^d\to\mathbf{R}$ when the observations are available from the function $Af$, where $A$ is a known linear operator. Both the Gaussian white noise model and density estimation are…
The aim of this paper is to treat the constant coefficients functional-differential equation $y'(x)=ay(qx)+by(x)$ with the help of the analytic theory of linear $q$-difference equations. When $ab\not=0$, the associated Cauchy problem with…
The standard Black-Scholes theory of option pricing is extended to cope with underlying return fluctuations described by general probability distributions. A Langevin process and its related Fokker-Planck equation are devised to model the…
The Tur{\'a}n inequalities and the Laguerre inequalities are closely related to the Laguerre-P\'{o}lya class and the Riemann hypothesis. These inequalities have been extensively studied in the literature. In this paper, we propose a method…
Laguerre's rootfinding algorithm is highly recommended although most of its properties are known only by empirical evidence. In view of this, we prove the first sufficient convergence criterion. It is applicable to simple roots of…
We study solutions of the Yang-Baxter equation on a tensor product of an arbitrary finite-dimensional and an arbitrary infinite-dimensional representations of the rank one symmetry algebra. We consider the cases of the Lie algebra sl_2, the…
Let $\tau(n)$ be Ramanujan's tau function, defined by the discriminant modular form \[ \Delta(z) = q\prod_{j=1}^{\infty}(1-q^{j})^{24}\ =\ \sum_{n=1}^{\infty}\tau(n) q^n \,,q=e^{2\pi i z} \] (this is the unique holomorphic normalized…
This manuscript presents a novel and reliable third-order iterative procedure for computing the zeros of solutions to second-order ordinary differential equations. By approximating the solution of the related Riccati differential equation…
From the literature it is known that orthogonal polynomials as the Jacobi polynomials can be expressed by hypergeometric series. In this paper, the authors derive several contiguous relations for terminating multivariate hypergeometric…
An alternative formula is presented for the evaluation of the zeta function values $\zeta(2k)$ without the need for Bernoulli numbers. Our formula is recursive, and improves the efficiency with which we can calculate large values of the…