Large deviations for multi-dimensional reflected fractional Brownian motion

By proving the continuity of multi-dimensional Skorokhod maps in a quasi-linearly discounted uniform norm on the doubly infinite time interval R, and strengthening know sample path large deviation principles for fractional Brownian motion to this topology, we obtain large deviation principles for the image of multi-dimensional fractional Brownian motions under Skorokhod maps as an immediate consequence of the contraction principle. As an application, we explicitly calculate large deviation decay rates for steady-state tail probabilities of certain queueing systems in multi-dimensional heavy traffic models driven by fractional Brownian motions.     

The asymptotic behavior of the R/S statistic for fractional Brownian motion

This paper provides a proof of the fact that asymptotically the R/S statistic and the self-similarity index of fractional Brownian motion agree in the expectation sense. In particular for fractional Gaussian noise time series, the R/S statistic is an estimator of the self-similarity index H. We also show that two other methods for estimating H yield consistent estimators.     

Wavelet-based estimator for the hurst parameters of fractional brownian sheet

It is proposed a class of statistical estimators H =(H_1,…,H_d) for the Hurst parameters H =(H_1,…,H_d) of fractional Brownian field via multi-dimensional wavelet analysis and least squares,which are asymptotically normal.These estimators can be used to detect self-similarity and long-range dependence in multi-dimensional signals,which is important in texture classification and improvement of diffusion tensor imaging(DTI) of nuclear magnetic resonance(NMR).Some fractional Brownian sheets will be simulated and the simulated data are used to validate these estimators.We find that when H_i ≥ 1/2,the estimators are accurate,and when H_i 1/2,there are some bias.     

Parameter estimation of an agent‐based stock price model

The influence of the behavior and strategies of traders on stock price formation has attracted much interest. It is assumed that there is a positive correlation between the total net demand and the price change. A buy order is expected to increase the price, whereas a sell order is assumed to decrease it. We perform data analysis based on a recently proposed stochastic model for stock prices. The model involves long‐range dependence, self‐similarity, and no arbitrage principle, as observed in real data. The arrival times of orders, their quantity, and their duration are created by a Poisson random measure. The aggregation of the effect of all orders based on these parameters yields the log‐price process. By scaling the parameters, a fractional Brownian motion or a stable Levy process can be obtained in the limit. In this paper, our aim is twofold; first, to devise statistical methodology to estimate the model parameters with an application on high‐frequency price data, and second, to validate the model by simulations with the estimated parameters. We find that the statistical properties of agent level behavior are reflected on the stock price, and can affect the entire process. Moreover, the price model is suitable for prediction through simulations when the parameters are estimated from real data. The methods developed in the present paper can be applied to frequently traded stocks in general. Copyright © 2013 John Wiley & Sons, Ltd.     

Convergence results for a class of nonlinear fractional heat equations

In this article we study various convergence results for a class of nonlinear fractional heat equations of the form $\left\{ \begin{gathered} u_t (t,x) - \mathcal{I}[u(t, \cdot )](x) = f(t,x),(t,x) \in (0,T) \times \mathbb{R}^n , \hfill \\ u(0,x) = u_0 (x),x \in \mathbb{R}^n , \hfill \\ \end{gathered} \right.$ where I is a nonlocal nonlinear operator of Isaacs type. Our aim is to study the convergence of solutions when the order of the operator changes in various ways. In particular, we consider zero order operators approaching fractional operators through scaling and fractional operators of decreasing order approaching zero order operators. We further give rate of convergence in cases when the solution of the limiting equation has appropriate regularity assumptions.     

Existence results for a new class of fractional impulsive partial neutral stochastic integro-differential equations with infinite delay

In this paper, a new class of fractional impulsive partial neutral stochastic integro-differential equations with infinite delay is introduced.Under some dissipative conditions, we obtain the existence, uniqueness and continuous dependence of mild solutions for these equations. An application involving a fractional stochastic parabolic system with not instantaneous impulses is considered.     

Continuous dependence results for a class of nonlinear heat equations in a cylindrical region

In this paper, we derive bounds for the solutions of a quasilinear heat equation in a finite cylindrical region if the far end and the lateral surface are held at zero temperature, and a nonzero temperature is applied at the near end. Some continuous dependence inequalities are also obtained. We also investigate the case in which a given heat flux is prescribed at the near end, instead of a given temperature. Copyright © 2008 John Wiley & Sons, Ltd.     

Existence results for BVP of a class of Hilfer fractional differential equations

In this paper, we consider the existence and uniqueness of solutions to the nonlocal boundary value problem for semi-linear differential equations involving Hilfer fractional derivative. With the help of properties of Hilfer fractional calculus, Mittag-Leffler functions, and fixed point methods, we derive existence and uniqueness results. Finally, examples are given to illustrate our theoretical results.     

A new cellular automaton model for traffic flow

Establishment of effective traffic models to reveal fundamental traffic characteristics is an essential requirement in the design, planning and operation of transportation systems. In 1992 Nagel and Schreckenberg presented a cellular automaton model describing traffic flow of N cars on a single lane and applied it in the famous project TRANSIMS on transportation simulation. In this paper, the author proposes a new model for the same problem and gives a comparison of simulation results with the former ones. The comparison shows that the new model works better under the condition of high traffic density.     

Existence and nonexistence results for a class of fractional boundary value problems

In this paper, we consider a fractional boundary value problem involving Riemann-Liouville fractional derivative and depending on a parameter. we obtain the existence and nonexistence results of positive solutions when the nonlinear term satisfies different requirements of superlinearity, sublinearity and the parameter lies in some intervals.     

Continuous dependence results for a general model of size-dependent population dynamics

We are concerned with a general model of size structured population dynamics with the growth rate depending on the individual's size and time. In this paper, we shall study the continuous dependence of the solution on all given data such as aging and birth functions, growth rate functions and initial data.     

Reinsurance control in a model with liabilities of the fractional Brownian motion type

We propose a model for reinsurance control for an insurance firm in the case where the liabilities are driven by fractional Brownian motion, a stochastic process exhibiting long-range dependence. The problem is transformed to a nonlinear programming problem, the solution of which provides the optimal reinsurance policy. The effect of various parameters of the model, such as the safety loading of the reinsurer and the insurer, the Hurst parameter, etc. on the optimal reinsurance program is studied in some detail. Copyright © 2007 John Wiley & Sons, Ltd.     

A new stable collocation method for solving a class of nonlinear fractional delay differential equations

Numerical Algorithms - In this paper, a stable collocation method for solving the nonlinear fractional delay differential equations is proposed by constructing a new set of multiscale orthonormal...     

New existence results of positive solution for a class of nonlinear fractional differential equations

In this article, the existence and uniqueness of positive solution for a class of nonlinear fractional differential equations is proved by constructing the upper and lower control functions of the nonlinear term without any monotone requirement. Our main method to the problem is the method of upper and lower solutions and Schauder fixed point theorem. Finally, we give an example to illuminate our results.     

A new adaptive observer design for a class of nonautonomous complex chaotic systems

This article is concerned with designing of a robust adaptive observer for a class of nonautonomous chaotic system with unknown parameters having unknown bounds. The proposed observer is established from the offered output measurement and robust against model uncertainties and external disturbances. Convergence analysis of the observation error dynamics is realized and proved by Lyapunov stabilization theory. Finally, for verification and demonstration, the proposed method is applied to the Chen as an autonomous chaotic system and the electrostatic transducer as a nonautonomous chaotic system. The numerical simulations illustrate the excellent performance of the proposed scheme. © 2014 Wiley Periodicals, Inc. Complexity 21: 145–153, 2015     

A sequential method for a class of pseudoconcave fractional problems

The aim of the paper is to maximize a pseudoconcave function which is the sum of a linear and a linear fractional function subject to linear constraints. Theoretical properties of the problem are first established and then a sequential method based on a simplex-like procedure is suggested.      

Some new analysis results for a class of interface problems

Interface problems modeled by differential equations have many applications in mathematical biology, fluid mechanics, material sciences, and many other areas. Typically, interface problems are characterized by discontinuities in the coefficients and/or the Dirac delta function singularities in the source term. Because of these irregularities, solutions to the differential equations are not smooth or discontinuous. In this paper, some new results on the jump conditions of the solution across the interface are derived using the distribution theory and the theory of weak solutions. Some theoretical results on the boundary singularity in which the singular delta function is at the boundary are obtained. Finally, the proof of the convergency of the immersed boundary (IB) method is presented. The IB method is shown to be first‐order convergent in L ^∞ norm. Copyright © 2013 John Wiley & Sons, Ltd.     

A new class of second order linearly implicit fractional step methods

A new family of linearly implicit fractional step methods is proposed and analysed in this paper. The combination of one of these time integrators with a suitable spatial discretization permits a very efficient numerical solution of semilinear parabolic problems. The main quality of this new family of methods, compared to other existing time integrators of this type, is that they are stable when the spatial differential operator is decomposed in a number m$m$ of “simpler” operators which do not necessarily commute. We prove that these methods satisfy this general stability result as well as they are second order consistent. Both consistency and stability are proven for an operator splitting in an arbitrary number m$m$ of terms (m?2$m?2$). Finally, a numerical experiment illustrates these theoretical results in the last section of the paper.