Integrals involving products of Airy functions, their derivatives and Bessel functions

A new integral representation of the Hankel transform type is deduced for the function Fn(x,Z)=Zn−1Ai(x−Z)Ai(x+Z) with x∈R, Z>0 and n∈N. This formula involves the product of Airy functions, their derivatives and Bessel functions. The presence of the latter allows one to perform various transformations with respect to Z and obtain new integral formulae of the type of the Mellin transform, K-transform, Laplace and Fourier transform. Some integrals containing Airy functions, their derivatives and Chebyshev polynomials of the first and second kind are computed explicitly. A new representation is given for the function ²|Ai(z)| with z∈C.     

Fractional derivatives of products of Airy functions

Fractional derivatives of the products of Airy functions are investigated, and Dα{Ai(x)×Bi(x)}, where Ai(x) and Bi(x) are the Airy functions of the first and second type, respectively. They turn out to be linear combinations of Dα{Ai(x)} and Dα{Gi(x)}, where Gi(x) is the Scorer function. It is also proved that the Wronskian W(x) of the system of half integrals {D−1/2Ai(x),D−1/2Gi(x)} and its Hilbert transform can be considered special functions in their own right since they are expressed in terms of and Ai(x)Bi(x), respectively. Various integral relations are established. Integral representations for Dα{Ai(x−a)Ai(x+a)} and its Hilbert transform −HDα{Ai(x−a)Ai(x+a)} are derived.     

Integrals containing products of Airy functions and planar photon propagation in a magnetic field

We derive a number of new results on integrals of products of Airy functions, using various integral transform techniques. As an application, we deduce a compact integral representation, suitable for numerical integration, of the one‐loop photon propagator in a magnetic field in 2 + 1 dimensional scalar quantum electrodynamics. Copyright © 2011 John Wiley & Sons, Ltd.     

Fractional differential equations solved by using Mellin transform

In this paper, the solution of the multi-order differential equations, by using Mellin transform, is proposed. It is shown that the problem related to the shift of the real part of the argument of the transformed function, arising when the Mellin integral operates on the fractional derivatives, may be overcame. Then, the solution may be found for any fractional differential equation involving multi-order fractional derivatives (or integrals). The solution is found in the Mellin domain, by solving a linear set of algebraic equations, whose inverse transform gives the solution of the fractional differential equation at hands.     

Numerical inversion of the Mellin transform on the real line for heavy-tailed probability density functions

A method for numerical inversion on the real line of the Mellin transform, without reduction of the problem to the inversion of Laplace transform is described. Maximum entropy technique is invoked in choosing the analytical form of the approximant function. Entropy-convergence and then L₁-norm convergence is proved. A stability analysis in evaluating entropy and expected values is illustrated. An upper bound of the error in the expected values computation is provided in terms of entropy.     

Extension of gamma, beta and hypergeometric functions

The main object of this paper is to present generalizations of gamma, beta and hypergeometric functions. Some recurrence relations, transformation formulas, operation formulas and integral representations are obtained for these new generalizations.     

The Mellin Transform in Quantum Calculus

A q-analogue of the Mellin transform is introduced by using a standard method of q-calculus involving the q-Jackson integral. In this paper, we study some of its properties coinciding with the corresponding classical ones when q tends to 1. In addition to several examples given, we establish the q-inversion formula, the q-analogue of the convolution product, and the q-extension of the known Titchmarsh theorem. Finally, we prove the q-Mellin summation formula related to some q-zeta function.     

On nonoscillating integrals for computing inhomogeneous Airy functions

Integral representations are considered of solutions of the inhomogeneous Airy differential equation . The solutions of these equations are also known as Scorer functions. Certain functional relations for these functions are used to confine the discussion to one function and to a certain sector in the complex plane. By using steepest descent methods from asymptotics, the standard integral representations of the Scorer functions are modified in order to obtain nonoscillating integrals for complex values of . In this way stable representations for numerical evaluations of the functions are obtained. The methods are illustrated with numerical results.

     

Asymptotic expansions for Riesz fractional derivatives of Airy functions and applications

Riesz fractional derivatives of a function, (also called Riesz potentials), are defined as fractional powers of the Laplacian. Asymptotic expansions for large x are computed for the Riesz fractional derivatives of the Airy function of the first kind, Ai(x), and the Scorer function, Gi(x). Reduction formulas are provided that allow one to express Riesz potentials of products of Airy functions, and , via and . Here Bi(x) is the Airy function of the second type. Integral representations are presented for the function A₂(a,b;x)=Ai(x−a)Ai(x−b) with a,b∈R and its Hilbert transform. Combined with the above asymptotic expansions they can be used for computing asymptotics of the Hankel transform of . These results are used for obtaining the weak rotation approximation for the Ostrovsky equation (asymptotics of the fundamental solution of the linearized Cauchy problem as the rotation parameter tends to zero).     

On the finite Mellin transform in quantum calculus and application

The aim of the present paper is to introduce and study a new type of q-Mellin transform [11], that will be called q-finite Mellin transform. In particular, we prove for this new transform an inversion formula and q-convolution product. The application of this transform is also earlier proposed in solving procedure for a new equation with a new fractional differential operator of a variational type.     

Two dimensional Mellin transform in Quantum Calculus

In this article, we introduce the two dimensional Mellin transform M_(f)(s, t),give some properties, establish the Paley-Wiener theorem and Plancherel formula, present the Hausdorff-Young inequality, and find several applications for the two dimensional Mellin transform.     

A Mellin transform approach to pricing barrier options under stochastic elasticity of variance

This article considers a problem of evaluating barrier option prices when the underlying dynamics are driven by stochastic elasticity of variance (SEV). We employ asymptotic expansions and Mellin transform to evaluate the option prices. The approach is able to efficiently handle barrier options in a SEV framework and produce explicitly a semi-closed form formula for the approximate barrier option prices. The formula is an expansion of the option price in powers of the characteristic amplitude scale and variation time of the elasticity and it can be calculated easily by taking the derivatives of the Black–Scholes price for a barrier option with respect to the underlying price and computing the one-dimensional integrals of some linear combinations of the Greeks with respect to time. We confirm the accuracy of our formula via Monte-Carlo simulation and find the SEV effect on the Black–Scholes barrier option prices.     

Indefinite integrals of products of special functions

A method is given for deriving indefinite integrals involving squares and other products of functions which are solutions of second-order linear differential equations. Several variations of the method are presented, which applies directly to functions which obey homogeneous differential equations. However, functions which obey inhomogeneous equations can be incorporated into the products and examples are given of integrals involving products of Bessel functions combined with Lommel, Anger and Weber functions. Many new integrals are derived for a selection of special functions, including Bessel functions, associated Legendre functions, and elliptic integrals. A number of integrals of products of Gauss hypergeometric functions are also presented, which seem to be the first integrals of this type. All results presented have been numerically checked with Mathematica.     

Decomposition formulas for some triple hypergeometric functions

With the help of some techniques based upon certain inverse pairs of symbolic operators, the authors investigate several decomposition formulas associated with Srivastava's hypergeometric functions HA, HB and HC in three variables. Many operator identities involving these pairs of symbolic operators are first constructed for this purpose. By means of these operator identities, as many as 15 decomposition formulas are then found, which express the aforementioned triple hypergeometric functions in terms of such simpler functions as the products of the Gauss and Appell hypergeometric functions. Other closely-related results are also considered briefly.     

The pricing of vulnerable options with double Mellin transforms

Many options traded in the over-the-counter markets are subject to default risks resulting from the probability that the option writer could not honor its contractual obligations. There have been growing concerns about financial derivatives subject to default risks, in particular, since the Global Financial Crisis and Eurozone crisis. This paper uses double Mellin transforms to study European vulnerable options under constant as well as stochastic (the Hull–White) interest rates. We obtain explicitly an analytic closed form pricing formula in each interest rate case so that the pricing of the options can be computed both accurately and efficiently.     

A systematization of the saddle point method. Application to the Airy and Hankel functions

The standard saddle point method of asymptotic expansions of integrals requires to show the existence of the steepest descent paths of the phase function and the computation of the coefficients of the expansion from a function implicitly defined by solving an inversion problem. This means that the method is not systematic because the steepest descent paths depend on the phase function on hand and there is not a general and explicit formula for the coefficients of the expansion (like in Watson's Lemma for example). We propose a more systematic variant of the method in which the computation of the steepest descent paths is trivial and almost universal: it only depends on the location and the order of the saddle points of the phase function. Moreover, this variant of the method generates an asymptotic expansion given in terms of a generalized (and universal) asymptotic sequence that avoids the computation of the standard coefficients, giving an explicit and systematic formula for the expansion that may be easily implemented on a symbolic manipulation program. As an illustrative example, the well-known asymptotic expansion of the Airy function is rederived almost trivially using this method. New asymptotic expansions of the Hankel function Hn(z) for large n and z are given as non-trivial examples.     

On the Mellin transform of products of Bessel and generalized hypergeometric functions

We deduce in an elementary way representations for the Mellin transform of a product of Bessel functions ₀F₁[−a²x²] and generalized hypergeometric functions _pF_p+1[−b²x²] for a,b>0. As a corollary we obtain a transformation formula for _p+1F_p[1] which was discovered by Wimp in 1987 by using Bailey's method for the specialization ₃F₂[1].