Numerical Methods in Computational Finance. Daniel J. Duffy. Читать онлайн. Newlib. NEWLIB.NET

Автор: Daniel J. Duffy
Издательство: John Wiley & Sons Limited
Серия:
Жанр произведения: Ценные бумаги, инвестиции
Год издания: 0
isbn: 9781119719724
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      1.3.2 Big O and Little o Notation

      For many applications we need a definition of the asymptotic behaviour of quantities such as functions and series; in particular we wish to find bounds on mathematical expressions and applications in computer science. To this end, we introduce the Landau symbols O and o.

      Definition 1.2 (O-Notation).

      Definition 1.3 (O-Notation).

      An example is:

      We note that complexity analysis applies to both continuous and discrete functions.

      In general, we are interested in functions of two (or more) variables. We consider a function of the form:

      The variables x and y can take values in a given bounded or unbounded interval. First, we say that f (x, y) is continuous at (a, b) if the limit:

      exists and is equal to f (a, b). We now need definitions for the derivatives of f in the x and y directions.

      In general, we calculate the partial derivatives by keeping one variable fixed and differentiating with respect to the other variable; for example:

). We can think of these as ‘original’ and ‘transformed’ coordinate axes, respectively. Now define the function z(u,
) as follows:

      This can be seen as a function of a function. The result that we are interested in is the following: if z is a differentiable function of (u,

) and u,
are themselves continuous functions of x, y, with partial derivatives, then the following rule holds: