Fourier series

About: Fourier series is a research topic. Over the lifetime, 16548 publications have been published within this topic receiving 322486 citations.

Linear Differential Operators

Abstract: Preface Bibliography 1. Interpolation. Introduction The Taylor expansion The finite Taylor series with the remainder term Interpolation by polynomials The remainder of Lagrangian interpolation formula Equidistant interpolation Local and global interpolation Interpolation by central differences Interpolation around the midpoint of the range The Laguerre polynomials Binomial expansions The decisive integral transform Binomial expansions of the hypergeometric type Recurrence relations The Laplace transform The Stirling expansion Operations with the Stirling functions An integral transform of the Fourier type Recurrence relations associated with the Stirling series Interpolation of the Fourier transform The general integral transform associated with the Stirling series Interpolation of the Bessel functions 2. Harmonic Analysis. Introduction The Fourier series for differentiable functions The remainder of the finite Fourier expansion Functions of higher differentiability An alternative method of estimation The Gibbs oscillations of the finite Fourier series The method of the Green's function Non-differentiable functions Dirac's delta function Smoothing of the Gibbs oscillations by Fejer's method The remainder of the arithmetic mean method Differentiation of the Fourier series The method of the sigma factors Local smoothing by integration Smoothing of the Gibbs oscillations by the sigma method Expansion of the delta function The triangular pulse Extension of the class of expandable functions Asymptotic relations for the sigma factors The method of trigonometric interpolation Error bounds for the trigonometric interpolation method Relation between equidistant trigonometric and polynomial interpolations The Fourier series in the curve fitting 3. Matrix Calculus. Introduction Rectangular matrices The basic rules of matrix calculus Principal axis transformation of a symmetric matrix Decomposition of a symmetric matrix Self-adjoint systems Arbitrary n x m systems Solvability of the general n x m system The fundamental decomposition theorem The natural inverse of a matrix General analysis of linear systems Error analysis of linear systems Classification of linear systems Solution of incomplete systems Over-determined systems The method of orthogonalisation The use of over-determined systems The method of successive orthogonalisation The bilinear identity Minimum property of the smallest eigenvalue 4. The Function Space. Introduction The viewpoint of pure and applied mathematics The language of geometry Metrical spaces of infinitely many dimensions The function as a vector The differential operator as a matrix The length of a vector The scalar product of two vectors The closeness of the algebraic approximation The adjoint operator The bilinear identity The extended Green's identity The adjoint boundary conditions Incomplete systems Over-determined systems Compatibility under inhomogeneous boundary conditions Green's identity in the realm of partial differential operators The fundamental field operations of vector analysis Solution of incomplete systems 5. The Green's Function. Introduction The role of the adjoint equation The role of Green's identity The delta function -- The existence of the Green's function Inhomogeneous boundary conditions The Green's vector Self-adjoint systems The calculus of variations The canonical equations of Hamilton The Hamiltonisation of partial operators The reciprocity theorem Self-adjoint problems Symmetry of the Green's function Reciprocity of the Green's vector The superposition principle of linear operators The Green's function in the realm of ordinary differential operators The change of boundary conditions The remainder of the Taylor series The remainder of the Lagrangian interpolation formula

Fourier series and boundary value problems

Abstract: Preface 1 Fourier Series Piecewise Continuous Functions Fourier Cosine Series Examples Fourier Sine Series Examples Fourier Series Examples Adaptations to Other Intervals 2 Convergence of Fourier Series One-Sided Derivatives A Property of Fourier Coefficients Two Lemmas A Fourier Theorem A Related Fourier Theorem Examples Convergence on Other Intervals A Lemma Absolute and Uniform Convergence of Fourier Series The Gibbs Phenomenon Differentiation of Fourier Series Integration of Fourier Series 3 Partial Differential Equations of Physics Linear Boundary Value Problems One-Dimensional Heat Equation Related Equations Laplacian in Cylindrical and Spherical Coordinates Derivations Boundary Conditions Duhamel's Principle A Vibrating String Vibrations of Bars and Membranes General Solution of the Wave Equation Types of Equations and Boundary Conditions 4 The Fourier Method Linear Operators Principle of Superposition Examples Eigenvalues and Eigenfunctions A Temperature Problem A Vibrating String Problem Historical Development 5 Boundary Value Problems A Slab with Faces at Prescribed Temperatures Related Temperature Problems Temperatures in a Sphere A Slab with Internally Generated Heat Steady Temperatures in Rectangular Coordinates Steady Temperatures in Cylindrical Coordinates A String with Prescribed Initial Conditions Resonance An Elastic Bar Double Fourier Series Periodic Boundary Conditions 6 Fourier Integrals and Applications The Fourier Integral Formula Dirichlet's Integral Two Lemmas A Fourier Integral Theorem The Cosine and Sine Integrals Some Eigenvalue Problems on Undounded Intervals More on Superposition of Solutions Steady Temperatures in a Semi-Infinite Strip Temperatures in a Semi-Infinite Solid Temperatures in an Unlimited Medium 7 Orthonormal Sets Inner Products and Orthonormal Sets Examples Generalized Fourier Series Examples Best Approximation in the Mean Bessel's Inequality and Parseval's Equation Applications to Fourier Series 8 Sturm-Liouville Problems and Applications Regular Sturm-Liouville Problems Modifications Orthogonality of Eigenfunctions adn Real Eigenvalues Real-Valued Eigenfunctions Nonnegative Eigenvalues Methods of Solution Examples of Eigenfunction Expansions A Temperature Problem in Rectangular Coordinates Steady Temperatures Other Coordinates A Modification of the Method Another Modification A Vertically Hung Elastic Bar 9 Bessel Functions and Applications The Gamma Function Bessel Functions Jn(x) Solutions When v = 0,1,2,... Recurrence Relations Bessel's Integral Form Some Consequences of the Integral Forms The Zeros of Jn(x) Zeros of Related Functions Orthogonal Sets of Bessel Functions Proof of the Theorems Two Lemmas Fourier-Bessel Series Examples Temperatures in a Long Cylinder A Temperature Problem in Shrunken Fittings Internally Generated Heat Temperatures in a Long Cylindrical Wedge Vibration of a Circular Membrane 10 Legendre Polynomials and Applications Solutions of Legendre's Equation Legendre Polynomials Rodrigues' Formula Laplace's Integral Form Some Consequences of the Integral Form Orthogonality of Legendre Polynomials Normalized Legendre Polynomials Legendre Series The Eigenfunctions Pn(cos theta) Dirichlet Problems in Spherical Regions Steady Temperatures in a Hemisphere 11 Verification of Solutions and Uniqueness Abel's Test for Uniform Convergence Verification of Solution of Temperature Problem Uniqueness of Solutions of the Heat Equation Verification of Solution of Vibrating String Problem Uniqueness of Solutions of the Wave Equation Appendixes Bibliography Some Fourier Series Expansions Solutions of Some Regular Sturm-Liouville Problems Some Fourier-Bessel Series Expansions Index

A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks

Abstract: We develop a unit-root test based on a simple variant of Gallant's (1981) flexible Fourier form. The test relies on the fact that a series with several smooth structural breaks can often be approximated using the low frequency components of a Fourier expansion. Hence, it is possible to test for a unit root without having to model the precise form of the break. Our unit-root test employing Fourier approximation has good size and power for the types of breaks often used in economic analysis. The appropriate use of the test is illustrated using several interest rate spreads.

A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions

Abstract: Here we develop an option pricing method for European options based on the Fourier-cosine series and call it the COS method. The key insight is in the close relation of the characteristic function with the series coefficients of the Fourier-cosine expansion of the density function. In most cases, the convergence rate of the COS method is exponential and the computational complexity is linear. Its range of application covers underlying asset processes for which the characteristic function is known and various types of option contracts. We will present the method and its applications in two separate parts. The first one is this paper, where we deal with European options in particular. In a follow-up paper we will present its application to options with early-exercise features.