Series, Approximation, and Limits

This paper presents a method to solve the American option pricing problem in the Black Scholes framework that generalizes the Barone-Adesi, Whaley method [1]. An auxiliary parameter is introduced in the American option pricing problem. Power series expansions in this parameter of the option price and of the corresponding free boundary are derived. These series expansions have the Baroni-Adesi, Whaley solution of the American option pricing problem as zero-th order term. The coefficients of the option price series are explicit formulae. The partial sums of the free boundary series are determined solving numerically nonlinear equations that depend from the time variable as a parameter. Numerical experiments suggest that the series expansions derived are convergent. The evaluation of the truncated series expansions on a grid of values of the independent variables is easily parallelizable. The cost of computing the n-th order truncated series expansions is approximately proportional to n as n goes to infinity. The results obtained on a set of test problems with the first and second order approximations deduced from the previous series expansions outperform in accuracy and/or in computational cost the results obtained with several alternative methods to solve the American option pricing problem [1]-[3]. For example when we consider options with maturity time between three and ten years and positive cost of carrying parameter (i.e. when the continuous dividend yield is smaller than the risk free interest rate) the second order approximation of the free boundary obtained truncating the series expansions improves substantially the Barone-Adesi, Whaley free boundary [1]. The website: http://www.econ.univpm.it/recchioni/finance/w20 contains material including animations, an interactive application and an app that helps the understanding of the paper. A general reference to the work of the authors and of their coauthors in mathematical finance is the website: http://www.econ.univpm.it/recchioni/finance.

This paper presents an effective approach for lower-order (LO) modeling of an electric vehicle–integrated off-grid microgrid (OMG) system. The seventh-order system (SOS) of the OMG is reduced to a second-order model (SOM) while preserving the original system’s dynamic characteristics and ensuring computational efficiency. The Taylor series (TS) and Laurent series (LS) expansions are employed to simplify the complex system that plays a significant role in the reduction process. The expansion parameters of the higher-order system (HOS) of OMG and its lower-order model (LOM) are exploited to construct the fitness function. The proposed approach constructs three sub-objective functions based on TS and LS. These sub-objective functions are then combined into a single fitness function to obtain an improved LOM by enhancing the transient and steady-state responses with respect to the HOS of OMG. To minimize the error, the resultant fitness function is optimized using the brown bear optimization (BBO) algorithm. The optimization is performed under two key constraints: (i) ensuring zero steady-state error, and (ii) satisfying the Hurwitz stability criterion. To demonstrate the efficacy of the proposed LOM, it is compared with other LOMs obtained from different approximation techniques. The proposed LOM and other LOMs are graphically validated through step, impulse, Bode, Nichols, and Nyquist response comparisons with the HOS. Additionally, the performance error criteria (PEC), time-domain specifications (TDSs) and frequency domain specifications (FDSs) of the proposed LOM are compared with other LOMs using the HOS to establish the validation and applicability of the proposed method.

A function is approximated in the interval − 1 ≤ x ≤ 1 - 1 \leq x \leq 1 by (i) a Taylor series in x ; (ii) a Taylor series in y = ( x + λ ) / ( 1 + λ x ) y = (x + \lambda )/(1 + \lambda x) ; (iii) a Chebyshev series in x ; and (iv) a Chebyshev series in z = ( x + μ ) / ( 1 + μ x ) z = (x + \mu )/(1 + \mu x) . The convergence of all four series is discussed, and a method is given for finding the values of λ \lambda and μ \mu which optimize convergence. Methods are also given for transforming one of the above series into another, some of which provide effective methods for acceleration of convergence. The application of the theory to even and odd functions is also discussed.

The main objective of this contribution is a constructive generalization of the holomorphic power and Laurent series expansions in ℂ to dimension 3 using the framework of hypercomplex function theory. This first article on hand deals with generalized Fourier and Taylor series expansions in the space of square integrable quaternion-valued functions which possess peculiar properties regarding the hypercomplex derivative and primitive. In analogy to the complex one-dimensional case, both series expansions are orthogonal series with respect to the unit ball in ℝ3 and their series coefficients can be explicitly (one-to-one) linked with each other. Finally, very compact and efficient representation formulae (recurrence, closed-form) for the elements of the orthogonal bases are presented.

Recently A. Knopfmacher and the present author [8] introduced and studied some properties of various unique expansions of formal Laurent series over a field F, as the sums of reciprocals of polynomials, involving "digits" al, as , . . , lying in a polynomial ring F[X] over F. In particular, one of these expansions (described below) turned out to be analogous to the so-called Liiroth expansion of a real number, discussed in Perron [13] Chapter 4. In a partly parallel way, Artin [1] and Magnus [9, 10] had earlier studied a Laurent series analogue of simple continued fractions of real numbers, involving "digits" Xl,Z2,. . . in a polynomial ring as above. In addition to sketching elementary properties of an n-dimensional "Jacobi-Perron" variant of this, Paysant-Leroux and Dubois [11, 12] also briefly outlined certain "metric" theorems analogous to some of Khintchine [7] for real continued fractions, in the case when F is a finite field. The main aim of this paper is to derive some similar metric or ergodic results for the Laurent series Liirothtype expansion referred to above. (For analogous results concerning Liiroth expansions of real numbers, see :lager and de Vroedt [5] and Salgt [14], and also [16, 17, 18].) In order to explain the conclusions, we first fix some notation and describe the inverse-polynomial Liiroth-type representation to be considered:

Formal analysis is the study of formal power series, formal Laurent series, formal root series, and other formal series or formal functionals. This book is the first comprehensive presentation of the topic that systematically introduces formal analysis, including its algebraic, analytic, and topological structure, along with various applications.

Factorials and stirling numbers in the algebra of formal Laurent series

CHAPTER VI - REPRESENTATION OF REGULAR FUNCTIONS BY SERIES

It is proved that a commutative domain $R$ is $\omega$-Euclidean if and only if the ring of formal Laurent series over $R$ is $\omega$-Euclidean domain. It is also proved that every singular matrice over ring of formal Laurent series $R_{X}$ are products of idempotent matrices if $R$ is $\omega$-Euclidean domain.

Approximation orders of formal Laurent series by β-expansions

Fast computation of the Gauss hypergeometric function with all its parameters complex with application to the Pöschl–Teller–Ginocchio potential wave functions

In this paper, the differential transformation method is applied to the system of Volterra integral and integrodifferential equations with proportional delays. The method is useful for both linear and nonlinear equations. By using this method, the solutions are obtained in series forms. If the solutions of the problem can be expanded to Taylor series, then the method gives opportunity to determine the coefficients of Taylor series. Hence, the exact solution can be obtained in Taylor series form. In illustrative examples, the method is applied to a few types of systems.

In this paper we use a contour integral method to derive a bilateral generating function in the form of a double series involving Chebyshev polynomials expressed in terms of the incomplete gamma function. Generating functions for the Chebyshev polynomial are also derived and summarized. Special cases are evaluated in terms of composite forms of both Chebyshev polynomials and the incomplete gamma function.

This paper studies six types of double integrals and uses Maple for verification. The infinite series forms of these double integrals can be obtained using Taylor series expansions and integration term by term theorem. In addition, some examples are used to demonstrate the calculations.

Helicon wave (whistler waves bounded transversely by a magnetic field surface) propagation is investigated for a cylindrically symmetric curved (flaring) boundary using a finite-element method where the propagation region is divided into a sequence of truncated cones. In each conical segment, a local spherical coordinate system is used with the origin at the apex of the cone. A vector wave equation for the fields is formulated for a cold plasma and reduced, in spherical coordinates, to a pair of coupled partial differential equations (PDEs) for two scalar functions. The PDEs are separable for the azimuthal eigenvalue m = 0. The -dependence is a Legendre function, with non-integer eigenvalues determined by the cone angle. The dependence on the radial coordinate, x, satisfies a fourth-order ordinary differential equation (ODE). A straightforward numerical integration of the equation from to fails for large values of , because of the existence of an exponentially growing solution to the equation. Consequently, a different approach is needed. Four independent solutions, valid for , in the form of power series in x (PS) are obtained which are each asymptotically proportional to as . For x large, four asymptotic expansions (AE) are obtained in the form of series in 1/x times or . The problem then is to find four linear combinations of the four PSs, each of which approaches one of the AEs in the limit by first deriving a double-integral representation of each PS, valid for all x, and then using its limit to match each AE to a linear combination of the PSs. For special values of or 4N, N an integer) closed-form solutions (polynomials times exponentials) result that are exact representations of the solution for all x. Solutions are computed and illustrated for an outgoing wave using the closed-form solution for special values of , and as a function of and x using the PS and AE, which have a large range of overlap. The propagating solutions of the ODE are also obtained using a WKB method and are used to calculate the propagation in a slowly diverging parabola of revolution.