Asymptotic expansions are derived as power series in a small coefficient entering a nonlinear multiplicative noise and a deterministic driving term in a nonlinear evolution equation. Detailed estimates on remainders are provided.

<Para ID="Par1">An investor with constant relative risk aversion trades a safe and several risky assets with constant investment opportunities. For a small fixed transaction cost, levied on each trade regardless of its size, we explicitly determine the leading-order corrections to the frictionless value...</para>

We investigate the solution of space–time fractional diffusion equations with a generalized Riemann–Liouville time fractional derivative and Riesz–Feller space fractional derivative. The Laplace and Fourier transform methods are applied to solve the proposed fractional diffusion equation....

This paper deals with a constructive approach for finding local approximations to singular perturbation problems. This approach is based on Nipp polyhedron algorithm wherein a correspondence between a singularly perturbed system and a convex polyhedron is established. The task of finding local...

This paper studies the statistical properties of vector autoregressions (VAR's) for quite general multiple time series which are integrated of order one. Functional central limit theorems are given for multivariate partial sums of weakly dependent innovations and these are applied to yield first...

We develop stochastic expansions with remainder oP(n-2 mu), where 0 mu 1/2, for a standardised semiparametric GLS estimator, a standard error, and a studentized statistic, in the linear regression model with heteroskedasticity of unknown form. We calculate the second moments of the truncated...

Data reduction involves a physical transition from sample data to econometric estimator and test statistic. This transition induces a mapping on the probability law of the sample, whose image is the distribution of the statistic of interest. At a general level, the mapping can often be captured...