Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size

In this paper, we show how concentration inequalities for Gaussian quadratic form can be used to propose confidence intervals of the Hurst index parametrizing a fractional Brownian motion. Both cases where the scaling parameter of the fractional Brownian motion is known or unknown are investigated. These intervals are obtained by observing a single discretized sample path of a fractional Brownian motion and without any assumption on the Hurst parameter H.     

Fractional diffusion limit for a stochastic kinetic equation

We study the stochastic fractional diffusive limit of a kinetic equation involving a small parameter and perturbed by a smooth random term. Generalizing the method of perturbed test functions, under an appropriate scaling for the small parameter, and with the moment method used in the deterministic case, we show the convergence in law to a stochastic fluid limit involving a fractional Laplacian.     

Generalized variational calculus in terms of multi-parameters fractional derivatives

In this paper, we briefly introduce two generalizations of work presented a few years ago on fractional variational formulations. In the first generalization, we consider the Hilfer’s generalized fractional derivative that in some sense interpolates between Riemann–Liouville and Caputo fractional derivatives. In the second generalization, we develop a fractional variational formulation in terms of a three parameter fractional derivative. We develop integration by parts formulas for the generalized fractional derivatives which are key to developing fractional variational calculus. It is shown that many derivatives used recently and their variational formulations can be obtained by setting different parameters to different values. We also define fractional generalized momenta and provide fractional Hamiltonian formulations in terms of the new generalized derivatives. An example is presented to show applications of the formulations presented here. Some possible extensions of this research are also discussed.     

多重分数Stratonovich积分的另一种构造(英文)

本文研究了当Hurst参数日小于1/2时关于分数布朗运动的随机积分问题.利用分数布朗运动的性质和卷积逼近的方法,获得了多重分数Stratonovich积分的另一种构造.     

Dynamical study of fractional order differential equations of predator‐pest models

To explore the impact of pest‐control strategy through a fractional derivative, we consider three predator‐prey systems by simple modification of Rosenzweig‐MacArthur model. First, we consider fractional‐order Rosenzweig‐MacArthur model. Allee threshold phenomena into pest population is considered for the second case. Finally, we consider additional food to the predator and harvesting in prey population. The main objective of the present investigation is to observe which model is most suitable for the pest control. To achieve this goal, we perform the local stability analysis of the equilibrium points and observe the basic dynamical properties of all the systems. We observe fractional‐order system has the ability to stabilize Rosenzweig‐MacArthur model with low pest density from oscillatory state. In the numerical simulations, we focus on the bistable regions of the second and third model, and we also observe the effect of the fractional order α throughout the stability region of the system. For the third model, we observe a saddle‐node bifurcation due to the additional food and Allee effect to the pest densities. Also, we numerically plot two parameter bifurcation diagram with respect to the harvesting parameter and fractional order of the system. We finally conclude that fractional‐order Rosenzweig‐MacArthur model and the modified Rosenzweig‐MacArthur model with additional food for the predator and harvested pest population are more suitable models for the pest management.     

Uniqueness and explosion time of solutions of stochastic differential equations driven by fractional Brownian motion

In this paper, we first study the existence and uniqueness of solutions to the stochastic differential equations driven by fractional Brownian motion with non-Lipschitz coefficients. Then we investigate the explosion time in stochastic differential equations driven by fractional Browmian motion with respect to Hurst parameter more than half with small diffusion.     

On the Weighted Local Time and the Tanaka Formula for the Multidimensional Fractional Brownian Motion

Abstract

We determine the weighted local time for the multidimensional fractional Brownian motion from the occupation time formula. We also discuss on the Itô and Tanaka formula for the multidimensional fractional Brownian motion. In these formulas the Skorohod integral is applicable if the Hurst parameter of fractional Brownian motion is greater than 1/2. If the Hurst parameter is less than 1/2, then we use the Skorohod type integral introduced by Nualart and Zakai for the stochastic integral and establish the Itô and Tanaka formulas.     

多重分数斯特拉托诺维奇积分的一个注记

本文研究了多重分数斯特拉托诺维奇积分,通过卷积逼近技巧和分数布朗运动的随机积分的性质,构造了当Hurst参数小于二分之一时的多重随机积分.这种方法是新的不同于文[8]中的构造方法.     

Anti-periodic BVP of fractional order with fractional impulsive conditions and variable parameter

In this paper, by using two fixed point theorems, we discuss two classes of anti-periodic BVP for fractional differential equations with fractional impulsive conditions and variable parameter. The existence of solutions is obtained. Examples are also given to illustrate our theoretical results.     

Fractional Poisson process

A fractional non-Markov Poisson stochastic process has been developed based on fractional generalization of the Kolmogorov–Feller equation. We have found the probability of n arrivals by time t for fractional stream of events. The fractional Poisson process captures long-memory effect which results in non-exponential waiting time distribution empirically observed in complex systems. In comparison with the standard Poisson process the developed model includes additional parameter μ. At μ=1 the fractional Poisson becomes the standard Poisson and we reproduce the well known results related to the standard Poisson process.As an application of developed fractional stochastic model we have introduced and elaborated fractional compound Poisson process.     

Stochastic analysis, rough path analysis and fractional Brownian motions

 In this paper we show, by using dyadic approximations, the existence of a geometric rough path associated with a fractional Brownian motion with Hurst parameter greater than 1/4. Using the integral representation of fractional Brownian motions, we furthermore obtain a Skohorod integral representation of the geometric rough path we constructed. By the results in [Ly1], a stochastic integration theory may be established for fractional Brownian motions, and strong solutions and a Wong-Zakai type limit theorem for stochastic differential equations driven by fractional Brownian motions can be deduced accordingly. The method can actually be applied to a larger class of Gaussian processes with covariance functions satisfying a simple decay condition. Received: 11 May 2000 / Revised version: 20 March 2001 / Published online: 11 December 2001     

Fractional order adaptive high-gain controllers for a class of linear systems

In this paper we show that a fractional adaptive controller based on high gain output feedback can always be found to stabilize any given linear, time-invariant, minimum phase, siso systems of relative degree one. We generalize the stability theorem of integer order controllers to the fractional order case, and we introduce a new tuning parameter for the performance behaviour of the controlled plant. A simulation example is given to illustrate the effectiveness of the proposed algorithm.     

一类多维参数高斯过程的弱逼近

本文研究了一类多维参数高斯过程的弱极限问题.在一般情况下,利用泊松过程得到了此类过程的弱极限定理,此多维参数高斯过程可表示为确定的核函数关于维纳过程的随机积分,且包含多维参数的分数布朗运动.     

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In this article, using the limit theory of martingales, we study the moderate deviation for maximum likelihood estimator of unknown parameter in the stochastic partial differential equation driven by additive fractional Brownian motion with Hurst parameter, and the rate function can be calculated. Moreover, we apply our main result to several examples.     

A Toughness Condition for Fractional (k,m)-deleted Graphs Revisited

In computer networks, toughness is an important parameter which is used to measure the vulnerability of the network. Zhou et al. obtains a toughness condition for a graph to be fractional (k, m)-deleted and presents an example to show the sharpness of the toughness bound. In this paper, we remark that the previous example does not work and inspired by this fact, we present a new toughness condition for fractional (k, m)-deleted graphs improving the existing one. Finally, we state an open problem.     

Mean-Field Backward Stochastic Differential Equations Driven by Fractional Brownian Motion

In this paper, we study a new class of equations called mean-field backward stochastic differential equations(BSDEs, for short) driven by fractional Brownian motion with Hurst parameter H 1/2. First, the existence and uniqueness of this class of BSDEs are obtained. Second, a comparison theorem of the solutions is established. Third, as an application, we connect this class of BSDEs with a nonlocal partial differential equation(PDE, for short), and derive a relationship between the fractional mean-field BSDEs and PDEs.     

Complex Minimax Fractional Programming of Analytic Functions

We prove that a minmax fractional programming problem is equivalent to a minimax nonfractional parametric problem for a given parameter in complex space. Using a parametric approach, we establish the Kuhn-Tucker type necessary optimality conditions and prove the existence theorem of optimality for complex minimax fractional programming in the framework of generalized convexity. Subsequently, we apply the optimality conditions to formulate a one-parameter dual problem and prove weak duality, strong duality, and strict converse duality theorems involving generalized convex complex functions. This research was partly supported by NSC, Taiwan.     

Properties of positive solutions to a class of four-point boundary value problem of Caputo fractional differential equations with a parameter

In this paper, by using fixed point theorems of concave operators in partial ordering Banach spaces, we establish the existence and uniqueness of positive solutions to a class of four-point boundary value problem of Caputo fractional differential equations for any given parameter. Moreover, we present some pleasant properties of positive solutions to the boundary value problem dependent on the parameter. In the end, two examples are given to illustrate our main results.     

Solitary wave solutions for a time-fraction generalized Hirota–Satsuma coupled KdV equation by an analytical technique

In this work, we implement a relatively analytical technique, the homotopy perturbation method (HPM), for solving nonlinear partial differential equations of fractional order. The fractional derivatives are described in Caputo derivatives. This method can be used as an alternative to obtain analytic and approximate solutions of different types of fractional differential equations which applied in engineering mathematics. The corresponding solutions of the integer order equations are found to follow as special cases of those of fractional order equations. He’s homotopy perturbation method (HPM) which does not need small parameter is implemented for solving the differential equations. It is predicted that HPM can be found widely applicable in engineering.     

分数OU模型参数估计的大偏差

本文考虑了分数OU模型参数估计的大偏差,通过Laplace变换的技巧,得到了极大似然估计的大偏差.