One-sided derivatives The right-sided and left-sided derivatives of a function at a point a are given by f + ′ ( a ) = lim h → 0 + f ( a + h ) − f ( a ) h a n d f − ′ ( a ) = lim h → 0 − f ( a + h ) − f ( a ) h , respectively, provided these limits exist. The derivative f ′( a ) exists if and only if f + ′( a ) = f − ′( a ) . a. Sketch the following functions. b. Compute f + ′( a ) and f − ′( a ) at the given point a. c. Is f continuous at a? Is f differentiable at a? 32. f ( x ) = { 4 − x 2 if x ≤ 1 2 x + 1 if x > 1 ; a = 1
One-sided derivatives The right-sided and left-sided derivatives of a function at a point a are given by f + ′ ( a ) = lim h → 0 + f ( a + h ) − f ( a ) h a n d f − ′ ( a ) = lim h → 0 − f ( a + h ) − f ( a ) h , respectively, provided these limits exist. The derivative f ′( a ) exists if and only if f + ′( a ) = f − ′( a ) . a. Sketch the following functions. b. Compute f + ′( a ) and f − ′( a ) at the given point a. c. Is f continuous at a? Is f differentiable at a? 32. f ( x ) = { 4 − x 2 if x ≤ 1 2 x + 1 if x > 1 ; a = 1
Solution Summary: The author illustrates the function f(x)=cc4-x
One-sided derivativesThe right-sided and left-sided derivatives of a function at a point a are given by
f
+
′
(
a
)
=
lim
h
→
0
+
f
(
a
+
h
)
−
f
(
a
)
h
a
n
d
f
−
′
(
a
)
=
lim
h
→
0
−
f
(
a
+
h
)
−
f
(
a
)
h
,
respectively, provided these limits exist. The derivative f′(a) exists if and only if f+′(a) = f−′(a).
a.Sketch the following functions.
b.Compute f+′(a) and f−′(a) at the given point a.
c.Is f continuous at a? Is f differentiable at a?
32.
f
(
x
)
=
{
4
−
x
2
if
x
≤
1
2
x
+
1
if
x
>
1
;
a
=
1
With integration, one of the major concepts of calculus. Differentiation is the derivative or rate of change of a function with respect to the independent variable.
The OU process studied in the previous problem is a common model for interest rates.
Another common model is the CIR model, which solves the SDE:
dX₁ = (a = X₁) dt + σ √X+dWt,
-
under the condition Xoxo. We cannot solve this SDE explicitly.
=
(a) Use the Brownian trajectory simulated in part (a) of Problem 1, and the Euler
scheme to simulate a trajectory of the CIR process. On a graph, represent both the
trajectory of the OU process and the trajectory of the CIR process for the same
Brownian path.
(b) Repeat the simulation of the CIR process above M times (M large), for a large
value of T, and use the result to estimate the long-term expectation and variance
of the CIR process. How do they compare to the ones of the OU process?
Numerical application: T = 10, N = 500, a = 0.04, x0 = 0.05, σ = 0.01, M = 1000.
1
(c) If you use larger values than above for the parameters, such as the ones in Problem
1, you may encounter errors when implementing the Euler scheme for CIR. Explain
why.
#8 (a) Find the equation of the tangent line to y = √x+3 at x=6
(b) Find the differential dy at y = √x +3 and evaluate it for x=6 and dx = 0.3
Q.2 Q.4 Determine ffx dA where R is upper half of the circle shown below.
x²+y2=1
(1,0)
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