no code implementations • 4 Mar 2022 • Fei Gao, Shuaiqiang Liu, Cornelis W. Oosterlee, Nico M. Temme
In this paper, we will evaluate integrals that define the conditional expectation, variance and characteristic function of stochastic processes with respect to fractional Brownian motion (fBm) for all relevant Hurst indices, i. e. $H \in (0, 1)$.
no code implementations • 17 Dec 2020 • Amparo Gil, Javier Segura, Nico M. Temme
As we will show, this asymptotic representation is also useful in the computation of the distribution function.
Classical Analysis and ODEs Numerical Analysis Numerical Analysis Computation 33B20, 41A60
no code implementations • 4 Aug 2020 • Nico M. Temme
We derive asymptotic expansions of the Kummer functions $M(a, b, z)$ and $U(a, b+1, z)$ for large positive values of $a$ and $b$, with $z$ fixed.
Classical Analysis and ODEs 33C15, 41A60