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Showing 1 to 6 of 6 for “"asymptotic series"”.
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A full asymptotic series of European call option prices in the SABR model with beta=1
… The first approach, which we call "Dyson series on the return's idiosyncratic noise" yields a complete series expansion but necessitates the calculation of a 7-dimensional integral. Two of these dimensions come from the use of Yor's (1992) formula for the joint density of a Brownian motion …
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Time-Dependent Perturbation and the Born-Oppenheimer Approximation
… equation. Using previous results that develop asymptotic series solutions in the Born-Oppenheimer parameter ε, we derive a formal Dyson series expansion in the perturbation parameter μ, which is proportional to the electromagnetic field strength. We then prove that this series is asymptotically …
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Phase-space analysis of wave propagation in homogeneous dispersive and dissipative media
A phase-space asymptotic approach to wave propagation in homogeneous dispersive and dissipative media is discussed which has several advantages by comparison to conventional techniques, such as the stationary phase method, ordinary ray tracing, etc. This approach, which is based on the wave-kinetic …
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Parametric Estimation of Stochastic Fading Channels and Their Role in Adaptive Radios
… in the least-squared error sense or via asymptotic series expansion which often lead to closed-form and simplified expressions. These new estimators are compared to existing ones, the performances of which are comparable while preserving a lower computational complexity. In addition, the …
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Eternal Solutions and Heteroclinic Orbits of a Semilinear Parabolic Equation
… by a particular functional being finite. A novel asymptotic-numeric matching scheme is used to uncover delicate bifurcation behavior in the equilibria. The exact nature of this bifurcation behavior leads to a demonstration that the equilibria are degenerate critical points in the sense of Morse. …