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Problem: Given The Above

1) The second order Taylor expansion around g for the expectation of u(n)(g - eg + k~x) would become: E u(n)(g - eg + k~x) = u(n)(g) - ek u'(n)(g) + k^2 u(n+2)(g) + o(k^3) 2) Given the new Taylor expansion, D(g) would become: D(g) = (1 - e)^2 [u''(g) - 2eku'''(g) + k^2 u''''(g)]^2 [u'''(g) - eku''''(g)] + [u

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Shakeel Bhellar
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35 views

Problem: Given The Above

1) The second order Taylor expansion around g for the expectation of u(n)(g - eg + k~x) would become: E u(n)(g - eg + k~x) = u(n)(g) - ek u'(n)(g) + k^2 u(n+2)(g) + o(k^3) 2) Given the new Taylor expansion, D(g) would become: D(g) = (1 - e)^2 [u''(g) - 2eku'''(g) + k^2 u''''(g)]^2 [u'''(g) - eku''''(g)] + [u

Uploaded by

Shakeel Bhellar
Copyright
© © All Rights Reserved
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Problem

You are given the following information:

Assume an indirect function ( g)=Eu( g+ y ) .


where E is the expectation operator, g is a random variable, v is a function.

−Eu' (g+ y )
Assume also that Q w ( g )=
Eu' ' ( g+ y )

E u' ( g+ y ) E u' ' ' ( g+ y )


Differentiating Qw ( g ) around g yields Q w ' ( g )= 2
−1
[ E u' ' ( g + y ) ]
D (g)
Differentiating Q w ' ( g ) around g yields Q w ' ' ( g )= 3
[ E u' ' ( g+ y ) ]
Where

D ( g )=[E u( g+ y)' ' ]2 E u' ' ' ( g+ y ) + E u' ( g+ y ) E u' ' ( g+ y ) E u' ' ' ' ( g+ y )−2 E u' ( g+ y )[E u '' ' (g + y)] 2

Now assume that the random variable y is distributed as k ~


x (~
x is another random variable),
~ ~
which has E x=0 and Var ( x )=2.

A 2nd order Taylor expansion around g will give

E u( n) ( g+ k ~
x ) =u(n ) ( g ) +k 2 u( n+2) ( g ) +o( k 3 ),

where (n) is the number of differentiations and o (.) is Landau’s symbol.

Given the above 2nd order Taylor expansion around g,


then D ( g ) would become
2
D ( g )=[ u( 2) ( g )+ k 2 u (4 ) (g) ] [ u( 3) ( g )+ k (2 ) u( 5) ( g) ]+ ( u(1 ) ( g ) +k 2 u( 3) ( g ) u( 2) ( g )+ k 2 u (4 ) ( g ) ) [ u( 4 ) ( g ) +k 2 u( 6) ( g ) ]−2 [ u(1 ) ( g ) +k 2 u( 3 ) ( g
Questions to be answered:

If we have function w ( g) transforming to the following w (g)=Eu( g−eg+ ỹ ), where e is a constant


number and

−Eu' ( g−eg+ y )
Q w ( g )=
Eu' ' (g−eg+ y )

D ( g )=( 1−e )2 [ E u( g−eg+ y )' ' ]2 E u' ' ' ( g−eg + y )+ E u' ( g−eg+ y ) E u' ' ( g−eg+ y ) E u' ' ' ' ( g−eg+ y )−2 E u' ( g−eg+ y

1) How would the 2nd order Taylor expansion would change?

E u( n) ( g−eg+ k ~x ) =?

2) Given the new Taylor expansion (from question 2) how D ( g ) becomes now?

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