Displaying similar documents to “Actuarial Approach to Option Pricing in a Fractional Black-Scholes Model with Time-Dependent Volatility”

Positivity and contractivity in the dynamics of clusters’ splitting with derivative of fractional order

Emile Franc Doungmo Goufo, Stella Mugisha (2015)

Open Mathematics

Similarity:

Classical models of clusters’ fission have failed to fully explain strange phenomenons like the phenomenon of shattering (Ziff et al., 1987) and the sudden appearance of infinitely many particles in some systems with initial finite particles number. Furthermore, the bounded perturbation theorem presented in (Pazy, 1983) is not in general true in solution operators theory for models of fractional order γ (with 0 < γ ≤ 1). In this article, we introduce and study a model that can be...

Fractional virus epidemic model on financial networks

Mehmet Ali Balci (2016)

Open Mathematics

Similarity:

In this study, we present an epidemic model that characterizes the behavior of a financial network of globally operating stock markets. Since the long time series have a global memory effect, we represent our model by using the fractional calculus. This model operates on a network, where vertices are the stock markets and edges are constructed by the correlation distances. Thereafter, we find an analytical solution to commensurate system and use the well-known differential transform...

Fractional Roesser problem and its optimization

Rafał Kamocki (2014)

Banach Center Publications

Similarity:

In the paper, a fractional continuous Roesser model is considered. Existence and uniqueness of a solution and continuous dependence of solutions on controls of the nonlinear model are investigated. Next, a theorem on the existence of an optimal solution for linear model with variable coefficients is proved.

Complex Oscillations and Limit Cycles in Autonomous Two-Component Incommensurate Fractional Dynamical Systems

Datsko, Bohdan, Luchko, Yuri (2012)

Mathematica Balkanica New Series

Similarity:

MSC 2010: 26A33, 34D05, 37C25 In the paper, long-time behavior of solutions of autonomous two-component incommensurate fractional dynamical systems with derivatives in the Caputo sense is investigated. It is shown that both the characteristic times of the systems and the orders of fractional derivatives play an important role for the instability conditions and system dynamics. For these systems, stationary solutions can be unstable for wider range of parameters compared to...

IVPs for singular multi-term fractional differential equations with multiple base points and applications

Yuji Liu, Pinghua Yang (2014)

Applicationes Mathematicae

Similarity:

The purpose of this paper is to study global existence and uniqueness of solutions of initial value problems for nonlinear fractional differential equations. By constructing a special Banach space and employing fixed-point theorems, some sufficient conditions are obtained for the global existence and uniqueness of solutions of this kind of equations involving Caputo fractional derivatives and multiple base points. We apply the results to solve the forced logistic model with multi-term...

Bifurcations of the time-fractional generalized coupled Hirota-Satsuma KdV system

Marwan Alquran, Kamel Al-Khaled, Mohammed Ali, Omar Abu Arqub (2017)

Waves, Wavelets and Fractals

Similarity:

The Hirota-Satsuma model with fractional derivative is considered to provide some characteristics of memory embedded into the system. The modified system is analyzed analytically using a new technique called residual power series method. We observe thatwhen the value of memory index (time-fractional order) is close to zero, the solutions bifurcate and produce a wave-like pattern.

Duplication in a model of rock fracture with fractional derivative without singular kernel

Emile F. Doungmo Goufo, Morgan Kamga Pene, Jeanine N. Mwambakana (2015)

Open Mathematics

Similarity:

We provide a mathematical analysis of a break-up model with the newly developed Caputo-Fabrizio fractional order derivative with no singular kernel, modeling rock fracture in the ecosystem. Recall that rock fractures play an important role in ecological and geological events, such as groundwater contamination, earthquakes and volcanic eruptions. Hence, in the theory of rock division, especially in eco-geology, open problems like phenomenon of shattering, which remains partially unexplained...

Fractional-order Bessel functions with various applications

Haniye Dehestani, Yadollah Ordokhani, Mohsen Razzaghi (2019)

Applications of Mathematics

Similarity:

We introduce fractional-order Bessel functions (FBFs) to obtain an approximate solution for various kinds of differential equations. Our main aim is to consider the new functions based on Bessel polynomials to the fractional calculus. To calculate derivatives and integrals, we use Caputo fractional derivatives and Riemann-Liouville fractional integral definitions. Then, operational matrices of fractional-order derivatives and integration for FBFs are derived. Also, we discuss an error...