4.6K views

Uploaded by pinfeng

This document is intended to give a helpful introduction to the idea of Taylor series. First the general specification for one- and two-dimensional real functions are presented. This is followed by some mathematical examples to provide insight into the real applicability of the theorem.

This document is intended to give a helpful introduction to the idea of Taylor series. First the general specification for one- and two-dimensional real functions are presented. This is followed by some mathematical examples to provide insight into the real applicability of the theorem.

Attribution Non-Commercial (BY-NC)

- MAT1322 Winter 2005 Sample Final Exam
- Taylor Series in Chemistry
- Bayesian Econometric Methods
- Applied. Econometrcisstatapdf
- Options, Futures, and Other Derivatives, 10th Edition, Copyright © John C. Hull 2017
- Historia Io
- Black Scholes Equation
- Fourier Series
- B.tech and M.tech ME 2015 16
- Differential Equations
- sdarticle
- Ch13HullOFOD8thEdition
- FOURIER SERIES
- Wiki Real Analysis
- 3rd Year Syll
- Building Mathematics
- Math 0411087
- Gate Maths
- Wikibooks Calculus
- The Subtle Art of Not Giving a F*ck: A Counterintuitive Approach to Living a Good Life

You are on page 1of 4

C.W.S.

Abstract

This document is intended to give a helpful introduction to the idea of Taylor se-

ries. First the general speciﬁcation for one- and two-dimensional real functions are

presented. This is followed by some mathematical examples to provide insight into the

real applicability of the theorem.

1 General Deﬁnition

calculated from the values of its derivatives at a single point. It may be regarded as the limit

of the Taylor polynomials. Taylor series are named in honour of English mathematician

Brook Taylor. If the series uses the derivatives at point zero, the series is also called a

Maclaurin series, named after Scottish mathematician Colin Maclaurin.

(From Wikipedia: http://en.wikipedia.org/wiki/Taylor_series)

A one-dimensional Taylor series is an expansion of a real function f (x) around a point one-

x = x0 and given by dimensional

(x − x0 )2 ′′

f (x) = f (x0 ) + (x − x0 )f ′ (x0 ) + f (x0 ) + . . .

(2!)

(x − x0 )n n

+ f (x0 ) + Rn (1)

(n!)

∑

n

(x − x0 )k f (k) (x0 )

= + Rn .

(k!)

k=0

Here, Rn is a remainder term known as the Lagrange remainder. Using the mean value

theorem, for some x ∈ [x0 , x], therefore, integrating n + 1 times gives the result

(x − x0 )n+1 (n+1) ∗

Rn = f (x ). (2)

(n + 1)!

1

So the maximum error after n terms of the Taylor series is the maximum value of (2) running

through all x∗ ∈ [x0 , x]. An alternative form of the one-dimensional Taylor series may be

obtained by letting

x − x0 = ∆x

so that

x = x0 + ∆x.

Substitute this result into (1) to give

1 1

f (x0 + ∆x) = f (x0 ) + ∆xf ′ (x0 ) + (∆x)2 f ′′ (x0 ) + (∆x)3 f ′′′ (x0 ) + . . . (3)

2! 3!

A Taylor series of a real function in two variables f (x, y) is given by two-

dimensional

f (x + ∆x, y + ∆y) =

f (x, y) + [fx (x, y)∆x + fy (x, y)∆y] +

1 [ ]

(∆x)2 fxx (x, y) + 2∆x∆yfxy (x, y) + (∆y)2 fyy (x, y) + (4)

2!

1 [

(∆x)3 fxxx (x, y) + 3(∆x)2 ∆yfxxy (x, y) + 3∆x(∆y)2 fxyy (x, y)

3! ]

+(∆y)3 fyyy (x, y) + . . .

[ ]j

∞

∑

1 ∑

n

∂

f (x1 , . . . , xn ) = (xk − ak ) f (x1 , . . . , xn ) . (5)

j! ∂xk

j=0 k=1

Rewriting,

[ ]j

∞

∑

1 ∑

n

∂

f (x1 + a1 , . . . , xn + an ) = ak f (x1 , . . . , xn ) . (6)

j! ∂xk

j=0 k=1

Note that you may need to use the Binomial theorem to solve for higher order terms,

∑n ( )

n n n−k k

(x + y) = x y

k

k=0

[ n−1 ]

∑ n!

= xn + xn−k y k + y n

(n − k)! · k!

k=1

∞

{ [ ] } n=2

∑ 1 ∂ ∂ j

f (x1 , x2 ) = (x1 − a1 ) (x2 − a2 ) f (x1 , x2 )

j! ∂x1 ∂x2

j=0

[ ]

∂f ∂f

= f (a1 , a2 ) + (x1 − a1 ) + (x2 − a2 ) +

∂x1 ∂x2

[ ]

1 ∂2f ∂2f ∂2f

(x1 − a1 )2 2 + 2(x1 − a1 )(x2 − a2 ) + (x2 − a2 )2 2 + . . . .

2! ∂x1 ∂x1 ∂x2 ∂x2

2

For a real function with three variables, taking n = 3 in (6) gives Example

n=3

f (x1 + a1 , x2 + a2 , x3 + a3 ) =

∞

{ ( ) }

∑ 1 ∂ ∂ ∂ j

a1 + a2 + a3 f (x1 , x2 , x3 ) .

j! ∂x1 ∂x2 ∂x3

j=0

2 Exemplifying Applications

Example 1

To diﬀerentiate or integrate functions of Ito processes, we need to make use of Ito’s Lemma.

Ito’s Lemma is easiest understood as a Taylor series expansion. Suppose that x(t) follows

the process

dx = a(x, t)dt + b(x, t)dz, (7)

and consider a function F (x, t) that is at least twice diﬀerentiable in x and once in t. We

would like to ﬁnd the total diﬀerential of this function, dF . The usual rules of calculus

deﬁne this diﬀerential in terms of ﬁrst-order changes in x and t:

∂F ∂F

dF = dx + dt. (8)

∂x ∂t

But suppose that we also include higher-order terms for changes in x:

∂F ∂F ∂2F ∂3F

dF = dx + dt + 12 2 (dx)2 + 16 3 (dx)3 + . . . . (9)

∂x ∂t ∂x ∂x

Substituting equation (5) for dx, we see that some terms in dx include dt raised to a power

higher than 1, and so will go to zero faster than dt in the limit. Hence Ito’s Lemma gives

the diﬀerential dF as

∂F ∂F ∂2F

dF = dx + dt + 12 2 (dx)2 . (10)

∂x ∂t ∂x

Example 2

Consider a continuous-time stochastic process that yields a simple form for the Bellman

equation { }

1

ρF (x, t) = max π(x, u, t) + E [dF ] .

u dt

Allowing the drift and the diﬀusion parameters to depend on the control variable as well as

the state variable we have

where dz is the increment of a standard Wiener process. Applying Ito’s Lemma to the value

function F , we can write

[

F (x + ∆x, t + ∆t) = F (x, t) + Ft (x, t)∆t + Fx (x, t)∆x + 12 (∆x)2 Fxx (x, t)+

]

+2∆x∆t Fxt (x, t) + (∆t)2 Ftt (x, t) + . . . .

3

Substitute dx for the Wiener process above and letting ∆t become suﬀiciently small, so

∆t = dt. Omitting the terms on Fxt (x, t) and Ftt (x, t) and With x′ = x + dx and t′ = t + dt

we can rewrite the expression to

F (x′ , t′ ) = F (x, t) + Ft (x, t)dt + a(x, t)Fx (x, t)dt + b(x, t)Fx (x, t)dz+

[( )

+ 12 a2 (x, t)(dt)2 + 2a(x, t)b(x, t)(dt)3/2 + b2 (x, t)dt Fxx (x, t)

( ) ]

+2 a(dt)2 + b(dt)3/2 Fxt (x, t) + (dt)2 Ftt (x, t) + o(dt),

where o(dt) represents remainder terms with dt to a power greater than one. Because the

terms in (dt)2 , (dt)3/2 and the remainder o(dt) go to zero faster than dt in the limit we can

omit them. Reminding that E(dz) = 0, taking expectations we obtain

E[F (x′ , t′ )] = F (x, t) + Ft (x, t)dt + a(x, t)Fx (x, t)dt + 21 b2 (x, t)Fxx (x, t)dt

[ ]

= F (x, t) + Ft (x, t) + a(x, t)Fx (x, t) + 21 b2 (x, t)Fxx (x, t) dt.

Because dF = F (x′ , t′ ) − F (x, t) after plugging the derived expectations term into the

“return equilibrium” condition above (the Bellmann equation), we have

{ }

ρF (x, t) = max π(x, u, t) + Ft (x, t) + a(x, t)Fx (x, t) + 12 b2 (x, t)Fxx (x, t) .

u

Weisstein, Eric W. ”Taylor Series.” From MathWorld–A Wolfram Web Resource.

http://mathworld.wolfram.com/TaylorSeries.html

- MAT1322 Winter 2005 Sample Final ExamUploaded byDavid Lin
- Taylor Series in ChemistryUploaded byAndreea Istrate
- Bayesian Econometric MethodsUploaded byAlex Din
- Applied. EconometrcisstatapdfUploaded bymandcrut
- Options, Futures, and Other Derivatives, 10th Edition, Copyright © John C. Hull 2017Uploaded byArindam Paul
- Historia IoUploaded byAnny Marroquin
- Black Scholes EquationUploaded byTraderCat Solaris
- Fourier SeriesUploaded byAakash Verma
- B.tech and M.tech ME 2015 16Uploaded byRiswan
- Differential EquationsUploaded byJoe Randy
- sdarticleUploaded byDae Hyun Kim
- Ch13HullOFOD8thEditionUploaded byJame
- FOURIER SERIESUploaded byDragan Rukavina
- Wiki Real AnalysisUploaded byJohn
- 3rd Year SyllUploaded byInayat Ullah
- Building MathematicsUploaded byApam Benjamin
- Math 0411087Uploaded byBISWARUP PAL
- Gate MathsUploaded byEbenezer Veda Sundaram
- Wikibooks CalculusUploaded byVeronica Bayani

- Lion Attacks on Humans in TanzaniaUploaded byMontos
- Understanding the Difference Between Biaxial and Triaxial in Terms of Casing DesignUploaded byHamed Nazari
- Abalos v. Heirs of Vicente TorioUploaded byfrozenwizard
- final[1]Uploaded bySabrina Zhang
- cupl_users_guide_crop.pdfUploaded byAshfaaq Ochatoya
- Oracle Optimized Solution for Siebel CRMUploaded bymastyvastav3347
- Fonologija pitanjaUploaded byTijana Panić
- Frequency ChartUploaded byGeorgina Đukić
- THE EFFECT OF EXPIRATORY MANUAL RIB CAGE COMPRESSION BEFORE SUCTIONING ON BLOOD OXYGEN SATURATION IN PATIENTSUploaded byBaru Chandrasekhar Rao
- Adam & Eve Story ( geology, solar physics, cataclysmic history)Uploaded bylimlerian
- final unit plan1Uploaded byapi-340413697
- entral ScotomUploaded byUmanath R Poojary
- 6. Amino Acids (Part I)Uploaded byGerald John Paz
- ECMO-Extracorporeal+Life+Support+in+Adul (estudio)Uploaded byChristian Espinoza Silva
- Bajaj vs HerohondaUploaded bymohyudin
- Modal Analysis of Cantilever BeamUploaded byAbhishek Ghosh
- Biosocial ApproachesUploaded byNà Jué Xiōngdì
- Ear ProblemsUploaded byWillie
- Testimony of Jennifer Arieta of North Star FundUploaded byStreet Vendor Project
- Effective Response to the Arab Spring: Recommendations for American Foreign PolicyUploaded bySaed Kakei
- dxbvUploaded bycyberprime_prasetyo
- 54213130 MGW Moshell CommandsUploaded byKe Hola
- Gus EngelingUploaded byAnonymous TW2wqBz
- Simple RegressionUploaded byAmmár Coentrão
- organizationsUploaded byJenna DeWitt
- Energy Efficiency Audits on Ships Impact of a Variable Speed Shaft Generation System on Ship Fuel Consumption and Propeller HydrodynamicsUploaded byADRIANSF1
- Anna AkhmatovaUploaded byCristina Andreea
- unit 5 reviewUploaded byapi-239626791
- Evaluating Technical Efficiency of Rice Production by Using a Modified Three Stage Data Envelopment Analysis Approach a Case Study in ThailandUploaded byIJSTR Research Publication
- Subiecte Proba de Verificare a Cunostintelor de Limba EnglezaUploaded byAbrahamfi Elena