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In this paper we evaluate integrals of products of gamma functions of Ramanujan type in terms of bilateral hypergeometric series. In cases where the bilateral hypergeometric series are summable, then we evaluate these integral as beta integrals. In addition, we obtain integral representations for bilateral hypergeometric series.

In the $q^{-1}$-symmetric Askey scheme, namely the $q^{-1}$-Askey--Wilson, continuous dual $q^{-1}$-Hahn, $q^{-1}$-Al-Salam--Chihara, continuous big $q^{-1}$-Hermite and continuous $q^{-1}$-Hermite polynomials, we compute bilateral discrete and continuous orthogonality relations. We also derive a $q$-beta integral which comes from the continuous orthogonality relation for the $q^{-1}$-Askey--Wilson polynomials. In the $q\to 1^{-}$ limit, this $q$-beta integral corresponds to a beta integral of Ramanujan-type which we present and provide two proofs for.

The Laplace-Beltrami operator on (the surface of) a triaxial ellipsoid admits a sequence of real eigenvalues diverging to plus infinity. By introducing ellipsoidal coordinates, this eigenvalue problem for a partial differential operator is reduced to a two-parameter regular Sturm-Liouville problem involving ordinary differential operators. This two-parameter eigenvalue problem has two families of eigencurves whose intersection points determine the eigenvalues of the Laplace-Beltrami operator. Eigenvalues are approximated numerically through eigenvalues of generalized matrix eigenvalue problems. Ellipsoids close to spheres are studied employing Lamé polynomials.

Lam\'e's differential equation is a linear differential equation of the second order with a periodic coefficient involving the Jacobian elliptic function ${\rm sn}$ depending on the modulus $k$, and two additional parameters $h$ and $\nu$. This differential equation appears in several applications, for example, the motion of coupled particles in a periodic potential. Stability and existence of periodic solutions of Lam\'e's equations is determined by the value of its Hill discriminant $D(h,\nu,k)$. The Hill discriminant is compared to an explicitly known quantity including explicit error bounds. This result is derived from the observation that Lam\'e's equation with $k=1$ can be solved by hypergeometric functions because then the elliptic function ${\rm sn}$ reduces to the hyperbolic tangent function. A connection relation between hypergeometric functions then allows the approximation of the Hill discriminant by a simple expression. In particular, one obtains an asymptotic approximation of $D(h,\nu,k)$ when the modulus $k$ tends to $1$.

The Laplace equation in three dimensional Euclidean space is $R$-separable in bi-cyclide coordinates leading to harmonic functions expressed in terms of Lam\'e-Wangerin functions called internal and external bi-cyclide harmonics. An expansion for the fundamental solution of Laplace's equation in products of internal and external bi-cyclide harmonics is derived. In limiting cases this expansion reduces to known expansion in bi-spherical and prolate spheroidal coordinates.

We derive an expansion for the fundamental solution of Laplace's equation in flat-ring cyclide coordinates in three-dimensional Euclidean space. This expansion is a double series of products of functions that are harmonic in the interior and exterior of coordinate surfaces which are peanut shaped and orthogonal to surfaces which are flat-rings. These internal and external peanut harmonic functions are expressed in terms of Lam\'e-Wangerin functions. Using the expansion for the fundamental solution, we derive an addition theorem for the azimuthal Fourier component in terms of the odd-half-integer degree Legendre function of the second kind as an infinite series in Lam\'e-Wangerin functions. We also derive integral identities over the Legendre function of the second kind for a product of three Lam\'e-Wangerin functions. In a limiting case we obtain the expansion of the fundamental solution in spherical coordinates.

We derive an expansion for the fundamental solution of Laplace's equation in flat-ring coordinates in three-dimensional Euclidean space. This expansion is a double series of products of functions that are harmonic in the interior and exterior of "flat rings". These internal and external flat-ring harmonic functions are expressed in terms of simply-periodic Lam\'e functions. In a limiting case we obtain the expansion of the fundamental solution in toroidal coordinates.

In this note we consider the Fourier expansion of the Ferrers function P of the first kind. We determine its mode of convergence.

The joint distribution of a geometric Brownian motion and its time-integral was derived in a seminal paper by Yor (1992) using Lamperti's transformation, leading to explicit solutions in terms of modified Bessel functions. In this paper, we revisit this classic result using the simple Laplace transform approach in connection to the Heun differential equation. We extend the methodology to the geometric Brownian motion with affine drift and show that the joint distribution of this process and its time-integral can be determined by a doubly-confluent Heun equation. Furthermore, the joint Laplace transform of the process and its time-integral is derived from the asymptotics of the solutions. In addition, we provide an application by using the results for the asymptotics of the double-confluent Heun equation in pricing Asian options. Numerical results show the accuracy and efficiency of this new method., Comment: The paper has been accepted by Applied Mathematics and Computation

We derive all eighteen Gauss hypergeometric representations for the Ferrers function of the second kind, each with a different argument. They are obtained from the eighteen hypergeometric representations of the associated Legendre function of the second kind by using a limit representation. For the 18 hypergeometric arguments which correspond to these representations, we give geometrical descriptions of the corresponding convergence regions in the complex plane. In addition, we consider a corresponding single sum Fourier expansion for the Ferrers function of the second kind. In four of the eighteen cases, the determination of the Ferrers function of the second kind requires the evaluation of the hypergeometric function separately above and below the branch cut at $[1,\infty)$. In order to complete these derivations, we use well-known results to derive expressions for the hypergeometric function above and below its branch cut. Finally we give a detailed review of the 1888 paper by Richard Olbricht who was the first to study hypergeometric representations of Legendre functions.

Wasserstein distances provide a metric on a space of probability measures. We consider the space $\Omega$ of all probability measures on the finite set $\chi = \{1, \dots ,n\}$ where $n$ is a positive integer. 1-Wasserstein distance, $W_1(\mu,\nu)$ is a function from $\Omega \times \Omega$ to $[0,\infty)$. This paper derives closed form expressions for the First and Second moment of $W_1$ on $\Omega \times \Omega$ assuming a uniform distribution on $\Omega \times \Omega$.

The Floquet eigenvalue problem and a generalized form of the Wangerin eigenvalue problem for Lam\'e's differential equation are discussed. Results include comparison theorems for eigenvalues and analytic continuation, zeros and limiting cases of (generalized) Lam\'e-Wangerin eigenfunctions. Algebraic Lam\'e functions and Lam\'e polynomials appear as special cases of Lam\'e-Wangerin functions.

We study spectral properties of the transfer operators $L$ defined on the circle $\mathbb T=\mathbb R/\mathbb Z$ by $$(Lu)(t)=\frac{1}{d}\sum_{i=0}^{d-1} f\left(\frac{t+i}{d}\right)u\left(\frac{t+i}{d}\right),\ t\in\mathbb T$$ where $u$ is a function on $\mathbb T$. We focus in particular on the cases $f(t)=|\cos(\pi t)|^q$ and $f(t)=|\sin(\pi t)|^q$, which are closely related to some classical Fourier-analytic questions. We also obtain some explicit computations, particularly in the case $d=2$. Our study extends work of Strichartz \cite{Strichartz1990} and Fan and Lau \cite{FanLau1998}., Comment: 30 pages, 4 figures

The paper discusses some properties of the modulus $|W_{k,m}(z)|$ of the Whittaker function $W_{k,m}(z)$. In particular, completely monotone functions expressed in terms of $|W_{k,m}(z)|$ are found. The results follow from an integral representation for products of Whittaker functions due to Erd\'elyi (1938).

In 1946, Magnus presented an addition theorem for the confluent hypergeometric function of the second kind $U$ with argument $x+y$ expressed as an integral of a product of two $U$'s, one with argument $x$ and another with argument $y$. We take advantage of recently obtained asymptotics for $U$ with large complex first parameter to determine a domain of convergence for Magnus' result. Using well-known specializations of $U$, we obtain corresponding integral addition theorems with precise domains of convergence for modified parabolic cylinder functions, and Hankel, Macdonald, and Bessel functions of the first and second kind with order zero and one.

It is shown that a known asymptotic expansion of the Kummer function $U(a,b,z)$ as $a$ tends to infinity is valid for $z$ on the full Riemann surface of the logarithm. A corresponding result is also proved in a more general setting considered by Olver (1956).

Conditional Asian options are recent market innovations, which offer cheaper and long-dated alternatives to regular Asian options. In contrast with payoffs from regular Asian options which are based on average asset prices, the payoffs from conditional Asian options are determined only by average prices above certain threshold. Due to the limited inclusion of prices, conditional Asian options further reduce the volatility in the payoffs than their regular counterparts and have been promoted in the market as viable hedging and risk management instruments for equity-linked life insurance products. There has been no previous academic literature on this subject and practitioners have only been known to price these products by simulations. We propose the first analytical approach to computing prices and deltas of conditional Asian options in comparison with regular Asian options. In the numerical examples, we put to the test some cost-benefit claims by practitioners. As a by-product, the work also presents some distributional properties of the occupation time and the time-integral of geometric Brownian motion during the occupation time.

We use connection relations and series rearrangement to generalize generating functions for several higher continuous orthogonal polynomials in the Askey scheme, namely the Wilson, continuous dual Hahn, continuous Hahn, and Meixner-Pollaczek polynomials. We also determine corresponding definite integrals using the orthogonality relations for these polynomials.

We derive eigenfunction expansions for a fundamental solution of Laplace's equation in three-dimensional Euclidean space in 5-cyclidic coordinates. There are three such expansions in terms of internal and external 5-cyclidic harmonics of first, second and third kind. The internal and external 5-cyclidic harmonics are expressed by solutions of a Fuchsian differential equation with five regular singular points.

In this paper we explore an identity in distribution of hitting times of a finite variation process (Yor's process) and a diffusion process (geometric Brownian motion with affine drift), which arise from various applications in financial mathematics. As a result, we provide analytical solutions to the fair charge of variable annuity guaranteed minimum withdrawal benefit (GMWB) from a policyholder's point of view, which was only previously obtained in the literature by numerical methods. We also use complex inversion methods to derive analytical solutions to the fair charge of the GMWB from an insurer's point of view, which is used in the market practice, however, based on Monte Carlo simulations. Despite of their seemingly different formulations, we can prove under certain assumptions the two pricing approaches are equivalent., Comment: 25 pages, 2 figures

We develop two analytic approaches to solve D-optimal approximate designs under generalized linear models. The first approach provides analytic D-optimal allocations for generalized linear models with two factors, which include as a special case the $2^2$ main-effects model considered by Yang, Mandal and Majumdar (2012). The second approach leads to explicit solutions for a class of generalized linear models with more than two factors. With the aid of the analytic solutions, we provide a necessary and sufficient condition under which a D-optimal design with two quantitative factors could be constructed on the boundary points only. It bridges the gap between D-optimal factorial designs and D-optimal designs with continuous factors., Comment: 28 pages, 3 figures

We generalize generating functions for hypergeometric orthogonal polynomials, namely Jacobi, Gegenbauer, Laguerre, and Wilson polynomials. These generalizations of generating functions are accomplished through series rearrangement using connection relations with one free parameter for these orthogonal polynomials. We also use orthogonality relations to determine corresponding definite integrals.

A global analysis is presented of solutions for Laplace's equation on three-dimensional Euclidean space in one of the most general orthogonal asymmetric confocal cyclidic coordinate systems which admit solutions through separation of variables. We refer to this coordinate system as five-cyclide coordinates since the coordinate surfaces are given by two cyclides of genus zero which represent the inversion at the unit sphere of each other, a cyclide of genus one, and two disconnected cyclides of genus zero. This coordinate system is obtained by stereographic projection of sphero-conal coordinates on four-dimensional Euclidean space. The harmonics in this coordinate system are given by products of solutions of second-order Fuchsian ordinary differential equations with five elementary singularities. The Dirichlet problem for the global harmonics in this coordinate system is solved using multiparameter spectral theory in the regions bounded by the asymmetric confocal cyclidic coordinate surfaces.

We obtain definite integrals for products of associated Legendre functions with Bessel functions, associated Legendre functions, and Chebyshev polynomials of the first kind using orthogonality and integral transforms.

A fundamental solution of Laplace's equation in three dimensions is expanded in harmonic functions that are separated in parabolic or elliptic cylinder coordinates. There are two expansions in each case which reduce to expansions of the Bessel functions $J_0(kr)$ or $K_0(kr)$, $r^2=(x-x_0)^2+(y-y_0)^2$, in parabolic and elliptic cylinder harmonics. Advantage is taken of the fact that $K_0(kr)$ is a fundamental solution and $J_0(kr)$ is the Riemann function of partial differential equations on the Euclidean plane.

This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study in this general framework of both restricted and unrestricted payment schemes, which were only previously treated separately in certain special cases of risk models in the literature. In the case of restricted payment scheme, the value function is shown to be a classical solution of the corresponding HJB equation, which in turn leads to an optimal restricted payment policy known as the threshold strategy. In the case of unrestricted payment scheme, by solving the associated integro-differential quasi-variational inequality, we obtain the value function as well as an optimal unrestricted dividend payment scheme known as the barrier strategy. When claim sizes are exponentially distributed, we provide easily verifiable conditions under which the threshold and barrier strategies are optimal restricted and unrestricted dividend payment policies, respectively. The main results are illustrated with several examples, including a new example concerning regressive growth rates., Comment: Key Words: Piecewise-deterministic compound Poisson model, optimal stochastic control, HJB equation, quasi-variational inequality, threshold strategy, barrier strategy

The paper introduces external ellipsoidal and external sphero-conal $h$-harmonics for the Dunkl-Laplacian. These external $h$-harmonics admit integral representations, and they are connected by a formula of Niven's type. External $h$-harmonics in the plane are expressed in terms of Jacobi polynomials $P_n^{\alpha,\beta}$ and Jacobi's functions $Q_n^{\alpha,\beta}$ of the second kind., Comment: This is a contribution to the Special Issue on Dunkl Operators and Related Topics, published in SIGMA (Symmetry, Integrability and Geometry: Methods and Applications) at http://www.emis.de/journals/SIGMA/

Classical ellipsoidal and sphero-conal harmonics are polynomial solutions of the Laplace equation that can be expressed in terms of Lame polynomials. Generalized ellipsoidal and sphero-conal harmonics are polynomial solutions of the more general Dunkl equation that can be expressed in terms of Stieltjes polynomials. Niven's formula connecting ellipsoidal and sphero-conal harmonics is generalized. Moreover, generalized ellipsoidal harmonics are applied to solve the Dirichlet problem for Dunkl's equation on ellipsoids., Comment: This is a contribution to the Vadim Kuznetsov Memorial Issue on Integrable Systems and Related Topics, published in SIGMA (Symmetry, Integrability and Geometry: Methods and Applications) at http://www.emis.de/journals/SIGMA/