Stochastic delay fractional evolution equations driven by fractional Brownian motion

In this paper, we consider a class of stochastic delay fractional evolution equations driven by fractional Brownian motion in a Hilbert space. Sufficient conditions for the existence and uniqueness of mild solutions are obtained. An application to the stochastic fractional heat equation is presented to illustrate the theory. Copyright © 2014 John Wiley & Sons, Ltd.     

Variational principle of fractional order generalized thermoelasticity

Recently, Youssef constructed a new theory of fractional order generalized thermoelasticity by taking into account the theory of heat conduction in deformable bodies, which depends upon the idea of the Riemann–Liouville fractional integral operator. In this paper, the variational theorem is obtained for the generalized thermoelasticity model for a homogeneous and isotropic body.     

Solvability of the boundary-value problem for a mixed equation involving hyper-Bessel fractional differential operator and bi-ordinal Hilfer fractional derivative

In a rectangular domain, a boundary-value problem is considered for a mixed equation with a regularized Caputo-like counterpart of hyper-Bessel differential operator and the bi-ordinal Hilfer's fractional derivative. By using the method of separation of variables a unique solvability of the considered problem has been established. Moreover, we have found the explicit solution of initial-boundary problems for the heat equation with the regularized Caputo-like counterpart of the hyper-Bessel differential operator with the non-zero starting point.     

Fractional order heat conduction law in magneto-thermoelasticity involving two temperatures

A new mathematical model of two-temperature magneto-thermoelasticity is constructed where the fractional order heat conduction law is considered. The state space approach is adopted for the solution of one-dimensional application for a perfect conducting half-space of elastic material with heat sources distribution in the presence of a transverse magnetic field. The Laplace-transform technique is used. A numerical method is employed for the inversion of the Laplace transforms. According to the numerical results and its graphs, conclusions about the new theory are given. Some comparisons are shown in figures to estimate the effects of the temperature discrepancy and the fractional order parameter on all the studied fields.     

Fractional order heat conduction law in magneto-thermoelasticity involving two temperatures

A new mathematical model of two-temperature magneto-thermoelasticity is constructed where the fractional order heat conduction law is considered. The state space approach is adopted for the solution of one-dimensional application for a perfect conducting half-space of elastic material with heat sources distribution in the presence of a transverse magnetic field. The Laplace-transform technique is used. A numerical method is employed for the inversion of the Laplace transforms. According to the numerical results and its graphs, conclusions about the new theory are given. Some comparisons are shown in figures to estimate the effects of the temperature discrepancy and the fractional order parameter on all the studied fields.     

Approximation of a fractional power of an elliptic operator

Some mathematical models of applied problems lead to the need of solving boundary value problems with a fractional power of an elliptic operator. In a number of works, approximations of such a nonlocal operator are constructed on the basis of an integral representation with a singular integrand. In the present article, new integral representations are proposed for operators with fractional powers. Approximations are based on the classical quadrature formulas. The results of numerical experiments on the accuracy of quadrature formulas are presented. The proposed approximations are used for numerical solving a model two‐dimensional boundary value problem for fractional diffusion.     

Propagation of nonlinear thermoelastic waves in porous media within the theory of heat conduction with memory: physical derivation and exact solutions

In this paper, we study a mathematical model of nonlinear thermoelastic wave propagation in fluid‐saturated porous media, considering memory effect in the heat propagation. In particular, we derive the governing equations in one dimension by using the Gurtin–Pipkin theory of heat flux history model and specializing the relaxation function in such a way to obtain a fractional Erdélyi–Kober integral. In this way, we obtain a nonlinear model in the framework of time‐fractional thermoelasticity, and we find an explicit analytical solution by means of the invariant subspace method. A second memory effect that can play a significant role in this class of models is parametrized by a generalized time‐fractional Darcy law. We study the equations obtained also in this case and find an explicit traveling wave type solution. Copyright © 2016 John Wiley & Sons, Ltd.     

Fractional‐order orthogonal Bernstein polynomials for numerical solution of nonlinear fractional partial Volterra integro‐differential equations

In this paper, a new two‐dimensional fractional polynomials based on the orthonormal Bernstein polynomials has been introduced to provide an approximate solution of nonlinear fractional partial Volterra integro‐differential equations. For this aim, the fractional‐order orthogonal Bernstein polynomials (FOBPs) are constructed, and its operational matrices of integration, fractional‐order integration, and derivative in the Caputo sense and product operational matrix are derived. These operational matrices are utilized to reduce the under study problem to a nonlinear system of algebraic equations. Using the approximation of FOBPs, the convergence analysis and error estimate associated to the proposed problem have been investigated. Finally, several examples are included to clarify the validity, efficiency, and applicability of the proposed technique via FOBPs approximation.     

图的分数κ-因子

给定图Ｇ＝（Ｖ,Ｅ）．设ａ和ｂ是两个非负整数．是一个函数．如果对所有的均成立,称 ｆ为 Ｇ的一个分数［ａ,ｂ］－ 因子． ａ＝ ｂ＝ κ时,称ｆ为 Ｇ的一个分数 ｋ＝因子．本文给出了一个图有分数 ｋ－因子的充分必要条件．     

A fractional partial differential equation based multiscale denoising model for texture image

Traditional integer‐order partial differential equation based image denoising approach can easily lead edge and complex texture detail blur, thus its denoising effect for texture image is always not well. To solve the problem, we propose to implement a fractional partial differential equation (FPDE) based denoising model for texture image by applying a novel mathematical method—fractional calculus to image processing from the view of system evolution. Previous studies show that fractional calculus has some unique properties that it can nonlinearly enhance complex texture detail in digital image processing, which is obvious different with integer‐order differential calculus. The goal of the modeling is to overcome the problems of the existed denoising approaches by utilizing the aforementioned properties of fractional differential calculus. Using classic definition and property of fractional differential calculus, we extend integer‐order steepest descent approach to fractional field to implement fractional steepest descent approach. Then, based on the earlier fractional formulas, a FPDE based multiscale denoising model for texture image is proposed and further analyze optimal parameters value for FPDE based denoising model. The experimental results prove that the ability for preserving high‐frequency edge and complex texture information of the proposed fractional denoising model are obviously superior to traditional integral based algorithms, as for texture detail rich images. Copyright © 2013 John Wiley & Sons, Ltd.     

分数(k,q)阶差分方程的解

本文首次提出了一种分数阶差分,分数阶和分以及分数阶差分方程的定义,并利用Z变换理论,给出(k,q)阶常系数分数阶差分方程的具体解法.     

Thoughts on modeling complexity

The simplest and probably the most familiar model of statistical processes in the physical sciences is the random walk. This simple model has been applied to all manner of phenomena, ranging from DNA sequences to the firing of neurons. Herein we extend the random walk model beyond that of mimicking simple statistics to include long‐time memory in the dynamics of complex phenomena. We show that complexity can give rise to fractional‐difference stochastic processes whose continuum limit is a fractional Langevin equation, that is, a fractional differential equation driven by random fluctuations. Furthermore, the index of the inverse power‐law spectrum in many complex processes can be related to the fractional derivative index in the fractional Langevin equation. This fractional stochastic model suggests that a scaling process guides the dynamics of many complex phenomena. The alternative to the fractional Langevin equation is a fractional diffusion equation describing the evolution of the probability density for certain kinds of anomalous diffusion. © 2006 Wiley Periodicals, Inc. Complexity 11: 33–43, 2006     

An analysis for heat equations arises in diffusion process using new Yang-Abdel-Aty-Cattani fractional operator

The heat equation is parabolic partial differential equation and occurs in the characterization of diffusion progress. In the present work, a new fractional operator based on the Rabotnov fractional-exponential kernel is considered. Next, we conferred some fascinating and original properties of nominated new fractional derivative with some integral transform operators where all results are significant. The fundamental target of the proposed work is to solve the multidimensional heat equations of arbitrary order by using analytical approach homotopy perturbation transform method and residual power series method, where new fractional operator has been taken in new Yang-Abdel-Aty-Cattani (YAC) sense. The obtained results indicate that solution converges to the original solution in language of generalized Mittag-Leffler function. Three numerical examples are discussed to draw an effective attention to reveal the proficiency and adaptability of the recommended methods on new YAC operator.     

分数阶微分方程边值问题研究简介

分数阶微积分是一个古老而又新颖的课题,近30年来,由于在包括分形现象在内的物理、工程等诸多应用学科领域应用的拓展,激发了科研人员对分数阶微积分的巨大热情。分数阶微分方程现在已应用于分数物理学、混沌与湍流、粘弹性力学与非牛顿流体力学、高分子材料的解链、自动控制理论、化学物理、随机过程和反常扩散等许多科学领域。分数阶微分方程边值问题是非线性常微分方程理论研究中一个活跃而成果丰硕的领域。本文讨论了分数阶微分方程边值问题的一些理论,介绍了作者的著作《分数阶微分方程边值问题理论及应用》的基本内容。     

Existence of fractional differential chains and factorizations based on transformations

In this work, we deal with the existence of the fractional integrable equations involving two generalized symmetries compatible with nonlinear systems. The method used is based on the Bä cklund transformation or B‐transformation. Furthermore, we shall factorize the fractional heat operator in order to yield the fractional Riccati equation. This is done by utilizing matrix transform Miura type and matrix operators, that is, matrices whose entries are differential operators of fractional order. The fractional differential operator is taken in the sense of Riemann–Liouville calculus. Copyright © 2014 John Wiley & Sons, Ltd.     

Some Properties of β-wordlength Pattern for Four-level Designs

Fractional factorial designs have played a prominent role in the theory and practice of experimental design.For designs with qualitative factors under an ANOVA model,the minimum aberration criterion has been frequently used;however,for designs with quantitative factors,a polynomial regression model is often established,thus theβ-wordlength pattern can be employed to compare different fractional factorial designs.Although theβ-wordlength pattern was introduced in 2004,its properties have not been investigated extensively.In this paper,we will present some properties ofβ-wordlength pattern for four-level designs.These properties can help find better designs with quantitative factors.     

A possible way of estimating options with stable distributed underlying asset prices

Option pricing theory is considered when the underlying asset price satisfies a stochastic differential equation which is driven by random motions generated by stable distributions. The properties of the stable distributions are discussed and their connection with the theory of fractional Brownian motion is noted. This approach attempts to generalize the classical Black–Scholes formulation, to allow for the presence of fat tails in the distribution of log prices which leads to a diffusion equation involving fractional Brownian motion. The resulting option pricing via a hedging strategy approach is independently derived by constructing a backward Kolmogorov equation for a simple trinomial model where the probabilities are assumed to satisfy a particular fractional Taylor series due to Dzherbashyan and Nersesyan. To effect this development, some knowledge of fractional integration and differentiation is required so this is briefly reviewed. Consideration is also given to a different hedging strategy approach leading to a fractional Black–Scholes equation involving the market price of risk. Modification to the model is also considered such as the impact of transaction costs. A simple example of American options is also considered.     

The structure of the fractional powers of the noncommutative Fourier law

In the recent years, there has been a lot of interest in fractional diffusion and fractional evolution problems. The spectral theory on the S‐spectrum turned out to be an important tool to define new fractional diffusion operators stating from the Fourier law for nonhomogeneous materials. Precisely, let e_?, e_?=1,2,3 be orthogonal unit vectors in and let be a bounded open set with smooth boundary ?Ω. Denoting by a point in Ω, the heat equation is obtained replacing the Fourier law given by into the conservation of energy law. In this paper, we investigate the structure of the fractional powers of the vector operator T, with homogeneous Dirichlet boundary conditions. Recently, we have found sufficient conditions on the coefficients a, b, such that the fractional powers of T exist in the sense of the S‐spectrum approach. In this paper, we show that under a different set of conditions on the coefficients a, b, c, the fractional powers of T have a different structure.     

Chaotic fractional‐order model for muscular blood vessel and its control via fractional control scheme

This article studies the chaotic and complex behavior in a fractional‐order biomathematical model of a muscular blood vessel (MBV). It is shown that the fractional‐order MBV (FOMBV) model exhibits very complex and rich dynamics such as chaos. We show that the corresponding maximal Lyapunov exponent of the FOMBV system is positive which implies the existence of chaos. Strange attractors of the FOMBV model are depicted to validate the chaotic behavior of the system. We change the fractional order of the model and investigate the dynamics of the system. To suppress the chaotic behavior of the model, we propose a single input fractional finite‐time controller and prove its stability using the fractional Lyapunov theory. In addition, the effects of the model uncertainties and external disturbances are taken into account and a robust fractional finite‐time controller is constructed. The upper bound of the chaos suppression time is also given. Some computer simulations are presented to illustrate the findings of this article. © 2014 Wiley Periodicals, Inc. Complexity 20: 37–46, 2014     

Conditional VaR estimation using Pearson’s type IV distribution

This paper presents a new value at risk (VaR) estimation model for equity returns time series and tests it extensively on Stock Indices of 14 countries. Two most important stylized facts of such series are volatility clustering, and non-normality as a result of fat tails of the return distribution. While volatility clustering has been extensively studied using the GARCH model and its various extensions, the phenomenon of non-normality has not been comprehensively explored, at least in the context of VaR estimation. A combination of extreme value theory (EVT) and GARCH has been explored to analyze financial data showing non-normal behavior. This paper proposes a combination of the Pearson’s Type IV distribution and the GARCH (1, 1) approach to furnish a new method with superior predictive abilities. The approach is back tested for the entire sample as well as for a holdout sample using rolling windows.