Search Results for author: Nico M. Temme

Found 3 papers, 0 papers with code

Solution of integrals with fractional Brownian motion for different Hurst indices

no code implementations4 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. $H \in (0, 1)$.

A new asymptotic representation and inversion method for the Student's t distribution

no code implementations17 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

Asymptotic expansions of Kummer hypergeometric functions for large values of the parameters

no code implementations4 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

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