A note on asymptotic expansions for Markov chains using operator theory

We consider asymptotic expansions for sums S_n on the form S_n = ƒ₀(X₀) + ƒ(X₁, X₀) + … + ƒ(X_n, X_n−1), where X_i is a Markov chain. Under different ergodicity conditions on the Markov chain and certain conditional moment conditions on ƒ(X_i, X_i−1), a simple representation of the characteristic function of S_n is obtained. The representation is in term of the maximal eigenvalue of the linear operator sending a function g(x) into the function x → E(g(X_i)exp[itƒ(X_i, x)]|X_i−1 = x).     

Properties of asymptotic expansions

The distribution function of a normalized sum of identically distributed independent random vectors is considered and some properties of its asymptotic expansions are studied. With the help of the results obtained here a theorem due to I. A. Ibragimov is strengthened.Translated from Matematicheskie Zametki, Vol. 22, No. 6, pp. 907–914, December, 1977.The author thanks V. V. Petrov and L. V. Osipov for taking interest in this article.     

Derivation of transitional asymptotic expansions from integral representations

A method for deriving transitional asymptotic expansions from integral representations is described and applied to Anger function and modified Hankel function. The method consists in deriving asymptotic expansions of the function considered as well as its first derivativeat the transition point using conventional methods such as Laplace’s method or the method of steepest descents. Since both the functions considered satisfy a second order linear differential equation, it is possible to obtain asymptotic expansions of higher order derivatives of the functions from the first two expansions. Thus asymptotic expressions for all the derivatives at the transition point are known and a Taylor expansion of the function in the neighbourhood of the transition point can be written. The method is also applicable to the generalized exponential integral, Weber’s parabolic cylinder function and Poiseuille function.     

Analytic theory of finite asymptotic expansions in the real domain. Part I: two-term expansions of differentiable functions

We establish a general analytic theory of asymptotic expansions of type 1 $$f(x) = a_1 \varphi _1 (x) + \cdots + a_n \varphi _n (x) + o(\varphi _n (x)) x \to x_0 ,$$ , where the given ordered n-tuple of real-valued functions (? ₁, ..., ? _n ) forms an asymptotic scale at x ₀ ?? . By analytic theory, as opposed to the set of algebraic rules for manipulating finite asymptotic expansions, we mean sufficient and/or necessary conditions of general practical usefulness in order that (*) hold true. Our theory is concerned with functions which are differentiable (n ? 1) or n times and the presented conditions involve integro-differential operators acting on f, ? ₁, ..., ? _n . We essentially use two approaches; one of them is based on canonical factorizations of nth-order disconjugate differential operators and gives conditions expressed as convergence of certain improper integrals, very useful for applications. The other approach starts from simple geometric considerations and gives conditions expressed as the existence of finite limits, as x ?? x ₀, of certain Wronskian determinants constructed with f, ? ₁, ..., ? _n . There is a link between the two approaches and it turns out that some of the integral conditions found via the factorizational approach have geometric meanings. Our theory extends to more general expansions the theory of real-power asymptotic expansions thoroughly investigated in previous papers. In the first part of our work we study the case of two comparison functions ? ₁, ? ₂ because the pertinent theory requires a very limited theoretical background and completely parallels the theory of polynomial expansions.     

Matched asymptotic expansions of integrals

Uniformly valid asymptotic expansions for integrals with coalescingcritical points are obtained by finding inner or boundary layerexpansions that match with standard Laplace method (outer) expansions.Simple algorithms for the terms of these expansions are establishedand programmed in MACSYMA. One of the applications is a newBessel function expansion.     

Tail asymptotic expansions for L-statistics

We derive higher-order expansions of L-statistics of independent risks X ₁, …,X _n under conditions on the underlying distribution function F. The new results are applied to derive the asymptotic expansions of ratios of two kinds of risk measures, stop-loss premium and excess return on capital, respectively. Several examples and a Monte Carlo simulation study show the efficiency of our novel asymptotic expansions.     

Qualitative dynamics, root-loci and asymptotic structure of universal adaptive stabilizers

A problem of universal adaptive stabilization in Rⁿ is approachedin a qualitative manner to relate the form of the trajectoriesin the extended state space Rⁿ⁺¹ to the root locus of the associatedfixed-parameter linear system. Relationships are derived betweenthe values of the limit gain and the initial conditions. Numericalstudies are used to illustrate and support these ideas by computationof generic trajectories and attempted computation of certainnon-generic possibilities. The implications of the study formore general dynamic situations are outlined. These authors are also with the Department of Mathematics,University of Exeter, EX4 4QE.     

Embedding and asymptotic expansions for martingales

The paper develops a way of embedding general martingales in continuous ones in such a way that the quadratic variation of the continuous martingale has conditional cumulants (given the original martingale) that are explicitly given in terms of optional and predictable variations of the original process. Bartlett identities for the conditional cumulants are also found. A main corollary to these results is the establishment of second (and in some cases higher) order asymptotic expansions for martingales.Research supported in part by National Science Foundation grant DMS 93-05601 and Army Research Office grant DAAH04-1-0105     

Refined asymptotic expansions for nonlocal diffusion equations

We study the asymptotic behavior for solutions to nonlocal diffusion models of the form u _t = J * u – u in the whole with an initial condition u(x, 0) = u ₀(x). Under suitable hypotheses on J (involving its Fourier transform) and u ₀, it is proved an expansion of the form

Complete asymptotic expansions for the two-sample problem

Let x₁, x₂,...,x_n and y₁, y₂,...,y_n be the results of two series of independent observations. Let us denote by F_{R 1} (x) and G_{R 2} (y) the empirical distribution functions constructed on the basis of the first and the second sample, respectively. Let us write This paper deals with a complete asymptotic expansion, for the case n₁=n, n₂=np, n of the probability in a power series 1/n, where p1 is a fixed integer, and ₁>0 and ₂> 0 are fixed positive numbers.Translated from Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta im. V. A. Steklova AN SSSR, Vol. 53, pp. 4–53, 1975.     

Merging asymptotic expansions for semistable random variables

Merging asymptotic expansions are established for distribution functions from the domain of geometric partial attraction of a semistable law. The length of the expansion depends on the exponent of the semistable law and on the characteristic function of the underlying distribution. We obtain sufficient conditions for the quantile function in order to get real infinite asymptotic expansion. The results are generalizations of the existing theory in the stable case.     

Complete asymptotic expansions associated with Epstein zeta-functions

Let Q(u,v)=|u+vz|² be a positive-definite quadratic form with a complex parameter z=x+iy in the upper-half plane. The Epstein zeta-function attached to Q is initially defined by for Re s>1, where the term with m=n=0 is to be omitted. We deduce complete asymptotic expansions of as y→+∞ (Theorem 1 in Sect. 2), and of its weighted mean value (with respect to y) in the form of a Laplace-Mellin transform of (Theorem 2 in Sect. 2). Prior to the proofs of these asymptotic expansions, the meromorphic continuation of over the whole s-plane is prepared by means of Mellin-Barnes integral transformations (Proposition 1 in Sect. 3). This procedure, differs slightly from other previously known methods of the analytic continuation, gives a new alternative proof of the Fourier expansion of (Proposition 2 in Sect. 3). The use of Mellin-Barnes type of integral formulae is crucial in all aspects of the proofs; several transformation properties of hypergeometric functions are especially applied with manipulation of these integrals. Research supported in part by Grant-in-Aid for Scientific Research (No. 13640041), the Ministry of Education, Culture, Sports, Science and Technology of Japan.     

Uniform asymptotic expansions of the Pollaczek polynomials

Two uniform asymptotic expansions are obtained for the Pollaczek polynomials P_n(cosθ;a,b). One is for , , in terms of elementary functions and in descending powers of . The other is for , in terms of a special function closely related to the modified parabolic cylinder functions, in descending powers of n. This interval contains a turning point and all possible zeros of P_n(cosθ) in θ(0,π/2].     

Wavelet expansions and asymptotic behavior of distributions

We develop a distribution wavelet expansion theory for the space of highly time-frequency localized test functions over the real line S₀(R)⊂S(R) and its dual space , namely, the quotient of the space of tempered distributions modulo polynomials. We prove that the wavelet expansions of tempered distributions converge in . A characterization of boundedness and convergence in is obtained in terms of wavelet coefficients. Our results are then applied to study local and non-local asymptotic properties of Schwartz distributions via wavelet expansions. We provide Abelian and Tauberian type results relating the asymptotic behavior of tempered distributions with the asymptotics of wavelet coefficients.     

Unclosed asymptotic expansions and mock theta functions

In his last letter to Hardy, Ramanujan defined 17 functions f(q), (|q|<1), which he called mock theta functions. Each f(q) has infinitely many exponential singularities at roots of unity, and under radial approach to every such singularity, f(q) has an asymptotic approximation consisting of a finite number of terms with closed exponential factors, plus an error term O(1). We give an example of a q-series in Eulerian form having an approximation with an unclosed exponential factor. Complete asymptotic expansions as q→1 of some shifted q-factorials are given in terms of polylogarithms and Bernoulli polynomials. Supported by the Natural Sciences and Engineering Research Council of Canada.