Thursday, 4 October 2018

limits - How to evaluate limnrightarrowinftysqrtn(fracert/n+sigmasqrtt/n1e2sigmasqrtt/n1frac12)?



I know it evaluates to rt12σ2t2σt but how to get there is the problem.



Using L'Hôpital you find limnert/n+σt/n1e2σt/n1=12

But L'Hôpital doesn't work on the whole thing. The only limit calculator that could figure it out was wolfram but that couldn't give me the steps to get there.
using Taylor series expansion gives me:limnn(k=0(rt/n+σt/n)1k=0(2σt/n)k112)
But I fail to see how to go further from here, any help would be appreciated


Answer



n:=tx2>0



limnn(ert/n+σt/n1e2σt/n112)=limx0t2σx((rx+σ)erx2+σx1rx2+σx2σxe2σx1σ)




=limx0t2σ(r+(rx+σ)rx+σ2!(2σx)00!B0+(rx+σ)(rx2+σx)01!2σ1!B1+x)



=t2σ(rσ22)



Bn are the Bernoulli numbers and we need here B0=1 and B1=12 .


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