Fractional variational integrators for fractional variational problems

In this paper, the fractional variational integrators for a class of fractional variational problems are developed. The fractional discrete Euler-Lagrange equation is obtained. Based on the Grünwald-Letnikov method and Diethelm’s fractional backward differences, some fractional variational integrators are presented and the fractional variational errors are discussed. Some numerical examples are presented to illustrate these results.     

On the numerical computation of the Mittag-Leffler function

Recently simple limiting functions establishing upper and lower bounds on the Mittag-Leffler function were found. This paper follows those expressions to design an efficient algorithm for the approximate calculation of expressions usual in fractional-order control systems. The numerical experiments demonstrate the superior efficiency of the proposed method.     

Approximate solutions of fractional Zakharov–Kuznetsov equations by VIM

This paper presents the approximate analytical solution of a fractional Zakharov–Kuznetsov equation with the help of the powerful variational iteration method. The fractional derivatives are described in the Caputo sense. Several examples are given and the results are compared to exact solutions. The results show that the variational iteration method is very effective, convenient and simple to use.     

Computing eigenelements of boundary value problems with fractional derivatives

Variational iteration method has been successfully implemented to handle linear and nonlinear differential equations. The main property of the method is its flexibility and ability to solve nonlinear equations accurately and conveniently. In this paper, first, a general framework of the variational iteration method is presented for analytic treatment of differential equations of fractional order where the fractional derivatives are described in Caputo sense. Second, the new framework is used to compute approximate eigenvalues and the corresponding eigenfunctions for boundary value problems with fractional derivatives. Numerical examples are tested to show the pertinent features of this method. This approach provides a new way to investigate eigenvalue problems with fractional order derivatives.     

Stability criterion for a class of nonlinear fractional differential systems

Stability analysis of nonlinear fractional differential systems has been an open problem since the 1990s of the last century. Apparently, Lyapunov’s second method seems to be invalid for nonlinear fractional differential systems (equations). In this paper, we are concerned with this open problem and have solved it partly. Based on Lyapunov’s second method, a novel stability criterion for a class of nonlinear fractional differential system is derived. Our result is simple, global and theoretically rigorous. The conditions to guarantee the stability of the nonlinear fractional differential system are convenient for testing. Compared with the stability criteria in the literature, our criterion is straightforward and suitable for application. Several examples are provided to illustrate the applications of our result.     

Electrical analogous in viscoelasticity

In this paper, electrical analogous models of fractional hereditary materials are introduced. Based on recent works by the authors, mechanical models of materials viscoelasticity behavior are firstly approached by using fractional mathematical operators. Viscoelastic models have elastic and viscous components which are obtained by combining springs and dashpots. Various arrangements of these elements can be used, and all of these viscoelastic models can be equivalently modeled as electrical circuits, where the spring and dashpot are analogous to the capacitance and resistance, respectively. The proposed models are validated by using modal analysis. Moreover, a comparison with numerical experiments based on finite difference time domain method shows that, for long time simulations, the correct time behavior can be obtained only with modal analysis. The use of electrical analogous in viscoelasticity can better reveal the real behavior of fractional hereditary materials.     

An approximate analytical solution of time-fractional telegraph equation

In this article, the powerful, easy-to-use and effective approximate analytical mathematical tool like homotopy analysis method (HAM) is used to solve the telegraph equation with fractional time derivative α (1 < α ? 2). By using initial values, the explicit solutions of telegraph equation for different particular cases have been derived. The numerical solutions show that only a few iterations are needed to obtain accurate approximate solutions. The method performs extremely well in terms of efficiency and simplicity to solve this historical model.     

Solving fractional integral equations by the Haar wavelet method

Haar wavelets for the solution of fractional integral equations are applied. Fractional Volterra and Fredholm integral equations are considered. The proposed method also is used for analysing fractional harmonic vibrations. The efficiency of the method is demonstrated by three numerical examples.     

Approximate analytical solutions of fractional gas dynamic equations

In this article, differential transform method (DTM) has been successfully applied to obtain the approximate analytical solutions of the nonlinear homogeneous and non-homogeneous gas dynamic equations, shock wave equation and shallow water equations with fractional order time derivatives. The true beauty of the article is manifested in its emphatic application of Caputo fractional order time derivative on the classical equations with the achievement of the highly accurate solutions by the known series solutions and even for more complicated nonlinear fractional partial differential equations (PDEs). The method is really capable of reducing the size of the computational work besides being effective and convenient for solving fractional nonlinear equations. Numerical results for different particular cases of the equations are depicted through graphs.     

Rules for selecting the parameters of Oustaloup recursive approximation for the simulation of linear feedback systems containing PID controller

Oustaloup recursive approximation (ORA) is widely used to find a rational integer-order approximation for fractional-order integrators and differentiators of the form s^v, v ∈ (−1, 1). In this method the lower bound, the upper bound and the order of approximation should be determined beforehand, which is currently performed by trial and error and may be inefficient in some cases. The aim of this paper is to provide efficient rules for determining the suitable value of these parameters when a fractional-order PID controller is used in a stable linear feedback system. Two numerical examples are also presented to confirm the effectiveness of the proposed formulas.     

Numerical approach for solving fractional relaxation–oscillation equation

In this study, we will obtain the approximate solutions of relaxation–oscillation equation by developing the Taylor matrix method. A relaxation oscillator is a kind of oscillator based on a behavior of physical system’s return to equilibrium after being disturbed. The relaxation–oscillation equation is the primary equation of relaxation and oscillation processes. The relaxation–oscillation equation is a fractional differential equation with initial conditions. For this propose, generalized Taylor matrix method is introduced. This method is based on first taking the truncated fractional Taylor expansions of the functions in the relaxation–oscillation equation and then substituting their matrix forms into the equation. Hence, the result matrix equation can be solved and the unknown fractional Taylor coefficients can be found approximately. The reliability and efficiency of the proposed approach are demonstrated in the numerical examples with aid of symbolic algebra program, Maple.     

Formulation of Euler-Lagrange equations for fractional variational problems

This paper presents extensions to traditional calculus of variations for systems containing fractional derivatives. The fractional derivative is described in the Riemann-Liouville sense. Specifically, we consider two problems, the simplest fractional variational problem and the fractional variational problem of Lagrange. Results of the first problem are extended to problems containing multiple fractional derivatives and unknown functions. For the second problem, we also present a Lagrange type multiplier rule. For both problems, we develop the Euler-Lagrange type necessary conditions which must be satisfied for the given functional to be extremum. Two problems are considered to demonstrate the application of the formulation. The formulation presented and the resulting equations are very similar to those that appear in the field of classical calculus of variations.     

Computation of the fractional Fourier transform

In this paper we make a critical comparison of some programs for the digital computation of the fractional Fourier transform that are freely available and we describe our own implementation that filters the best out of the existing ones. Two types of transforms are considered: first, the fast approximate fractional Fourier transform algorithm for which two algorithms are available. The method is described in [H.M. Ozaktas, M.A. Kutay, G. Bozda i, IEEE Trans. Signal Process. 44 (1996) 2141–2150]. There are two implementations: one is written by A.M. Kutay, the other is part of package written by J. O'Neill. Second, the discrete fractional Fourier transform algorithm described in the master thesis by Ç. Candan [Bilkent University, 1998] and an algorithm described by S.C. Pei, M.H. Yeh, and C.C. Tseng [IEEE Trans. Signal Process. 47 (1999) 1335–1348].     

分数跳-扩散运动下欧式复杂任选期权定价

本文假定股票价格过程服从分数跳一扩散运动,且期望收益率和波动率均为常数,在市场无套利的情形下,利用拟鞅定价的方法,得到了欧式复杂任选期权的解析定价公式．     

Fourier Series Approximation of Linear Fractional Stable Motion

An approximation of the linear fractional stable motion by a Fourier sum is presented. In the continuous sample path case precise error bounds are derived. This approximation method is used to develop a simulation method of the sample path of linear fractional stable motions. The second author was partially supported by NSF grant DMS-0417869.     

A sufficient condition of viability for fractional differential equations with the Caputo derivative

In this paper viability results for nonlinear fractional differential equations with the Caputo derivative are proved. We give the sufficient condition that guarantees fractional viability of a locally closed set with respect to nonlinear function. As an example we discuss positivity of solutions, particularly in linear case.     

Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations

Stock exchange dynamics of fractional order are usually modeled as a non-random exponential growth process driven by a fractional Brownian motion. Here we propose to use rather a non-random fractional growth driven by a (standard) Brownian motion. The key is the Taylor’s series of fractional order where E_α(.) denotes the Mittag-Leffler function, and is the so-called modified Riemann-Liouville fractional derivative which we introduced recently to remove the effects of the non-zero initial value of the function under consideration. Various models of fractional dynamics for stock exchange are proposed, and their solutions are obtained. Mainly, the Itô’s lemma of fractional order is illustrated in the special case of a fractional growth with white noise. Prospects for the Merton’s optimal portfolio are outlined, the path probability density of fractional stock exchange dynamics is obtained, and two fractional Black-Scholes equations are derived. This approach avoids using fractional Brownian motion and thus is of some help to circumvent the mathematical difficulties so involved.     

Solving linear and nonlinear fractional diffusion and wave equations by Adomian decomposition

Adomian decomposition method has been used to obtain solutions of linear/nonlinear fractional diffusion and wave equations. Some illustrative examples have been presented.     

On Weak Solutions of Stochastic Differential Equations II

In the first part of this article a new method of proving existence of weak solutions to stochastic differential equations with continuous coefficients having at most linear growth was developed. In this second part, we show that the same method may be used even if the linear growth hypothesis is replaced with a suitable Lyapunov condition.