Compact finite difference schemes of the time fractional Black-Scholes model

In this paper, three compact difference schemes for the time-fractional Black-Scholes model governing European option pricing are presented. Firstly, in order to obtain the fourth-order accuracy in space by applying the Pad\''{e} approximation, we eliminate the convection term of the B-S equation by an exponential transformation. Then the time fractional derivative is approximated by $L1$ formula, $L2 - 1_\sigma$ formula and $L1 - 2$ formula respectively, and three compact difference schemes with oders $O(\Delta t^{2-\alpha}+h ^4)$, $O(\Delta t^{2}+h ^4)$ and $O(\Delta t^{3-\alpha}+h ^4)$ are constructed. Finally, numerical example is carried out to verify the accuracy and effectiveness of proposed methods, and the comparisons of various schemes are given. The paper also provides numerical studies including the effect of fractional orders and the effect of different parameters on option price in time-fractional B-S model.     

多项Caputo分数阶随机微分方程的Euler-Maruyama方法

本文主要研究了一类多项Caputo分数阶随机微分方程的Euler-Maruyama (EM)方法,并证明了其强收敛性.具体地,我们首先构造了求解多项Caputo分数阶随机微分方程初值问题的EM方法,然后证明分数阶导数的指标满足$\frac{1}{2}<\alpha_{1}<\alpha_{2}<\cdots<\alpha_{m}<1$时,该方法是$\alpha_{m}-\alpha_{m-1}$阶强收敛的.文末的数值试验验证了理论结果的正确性.     

Fractional Hamiltonian systems with positive semi-definite matrix

We study the existence of solutions for the following fractional Hamiltonian systems $$ \left\{ \begin{array}{ll} - _tD^{\alpha}_{\infty}(_{-\infty}D^{\alpha}_{t}u(t))-\lambda L(t)u(t)+\nabla W(t,u(t))=0,\\[0.1cm] u\in H^{\alpha}(\mathbb{R},\mathbb{R}^n), \end{array} \right. ~~~~~~~~~~~~~~~~~(FHS)_\lambda $$ where $\alpha\in (1/2,1)$, $t\in \mathbb{R}$, $u\in \mathbb{R}^n$, $\lambda>0$ is a parameter, $L\in C(\mathbb{R},\mathbb{R}^{n^2})$ is a symmetric matrix, $W\in C^1(\mathbb{R} \times \mathbb{R}^n,\mathbb{R})$. Assuming that $L(t)$ is a positive semi-definite symmetric matrix, that is, $L(t)\equiv 0$ is allowed to occur in some finite interval $T$ of $\mathbb{R}$, $W(t,u)$ satisfies some superquadratic conditions weaker than Ambrosetti-Rabinowitz condition, we show that (FHS)$_\lambda$ has a solution which vanishes on $\mathbb{R}\setminus T$ as $\lambda \to \infty$, and converges to some $\tilde{u}\in H^{\alpha}(\R, \R^n)$. Here, $\tilde{u}\in E_{0}^{\alpha}$ is a solution of the Dirichlet BVP for fractional systems on the finite interval $T$. Our results are new and improve recent results in the literature even in the case $\alpha =1$.     

Ground state solution for a class fractional Hamiltonian systems

In this paper, we consider a class of Hamiltonian systems of the form $_tD_\infty^\alpha(_{-\infty} D_t^\alpha u(t))+L(t) u(t)-\nabla W(t,u(t))=0$ where $\alpha\in(\frac{1}{2},1)$, $_{-\infty}D_t^\alpha$ and $_{t}D_\infty^\alpha$ are left and right Liouville-Weyl fractional derivatives of order $\alpha$ on the whole axis $R$ respectively. Under weaker superquadratic conditions on the nonlinearity and asymptotically periodic assumptions, ground state solution is obtained by mainly using Local Mountain Pass Theorem, Concentration-Compactness Principle and a new form of Lions Lemma respect to fractional differential equations.     

Infinitely many solutions for fractional Schrodinger-Maxwell equations

In this paper using fountain theorems we study the existence of infinitely many solutions for fractional Schr\"{o}dinger-Maxwell equations \[\begin{cases} (-\Delta)^\alpha u+\lambda V(x)u+\phi u=f(x,u)-\mu g(x)|u|^{q-2}u, \text{ in } \mathbb R^3,\(-\Delta)^\alpha \phi=K_\alpha u^2, \text{ in } \mathbb R^3, \end{cases}\] where $\lambda,\mu >0$ are two parameters, $\alpha\in (0,1]$, $K_\alpha=\frac{\pi^{-\alpha}\Gamma(\alpha)}{\pi^{-(3-2\alpha)/2}\Gamma((3-2\alpha)/2)}$ and $(-\Delta)^\alpha$ is the fractional Laplacian. Under appropriate assumptions on $f$ and $g$ we obtain an existence theorem for this system.     

基于RBF和PSO的双喉道气动矢量喷管优化设计

本文探索了一种能多变量综合优化的方法,即对喷管进行参数化设计后,用均匀试验设计(UED)将试验样本均匀散布在设计区间内,求出各性能参数后,利用径向基神经网络(RBF)对试验样本进行拟合,再用粒子群算法(PSO)对训练好的神经网络进行寻优,找出了更好的双喉道气动矢量喷管设计参数组合。数值模拟结果显示,优化后的双喉道气动矢量喷管的矢量角有了明显提高。试验表明这种优化方法具有很好的优化能力,可以用来对喷管几何外形进行参数优化。      

分数次型 Marcinkiewicz 积分在 Hardy 空间中的有界性

The authors in the paper proved that if Ω is homogeneous of degree zero and satisfies some certain logarithmic type Lipschitz condition,then the fractional type Marcinkiewicz Integral μ Ω,α is an operator of type （H˙ K n（1-1/q 1 ）,p q 1 ,˙ K n（1-1/q 1 ）,p q 2 ） and of type （H 1 （R n ）,L n/（n-α） ）.     

Uniqueness and existence of solutions for a singular system with nonlocal operator via perturbation method

In this work, we investigate the existence and the uniqueness of solutions for the nonlocal elliptic system involving a singular nonlinearity as follows: $$ \left\{\begin{array}{ll} (-\Delta_p)^su = a(x)|u|^{q-2}u +\frac{1-\alpha}{2-\alpha-\beta} c(x)|u|^{-\alpha}|v|^{1-\beta}, \quad \text{in }\Omega,\ (-\Delta_p)^s v= b(x)|v|^{q-2}v +\frac{1-\beta}{2-\alpha-\beta} c(x)|u|^{1-\alpha}|v|^{-\beta}, \quad \text{in }\Omega,\ u=v = 0 ,\;\;\mbox{ in }\,\mathbb{R}^N\setminus\Omega, \end{array} \right. $$ where $\Omega $ is a bounded domain in $\mathbb{R}^{n}$ with smooth boundary, $0<\alpha <1,$ $0<\beta <1,$ $2-\alpha -\beta 相似文献   

ON THE PROBLEM OF BEST CONVERGENCE RATES OF DENSITY ESTIMATES

Let X_1,…,X_n be iid samples drawn from an m-dimensional population with a probabilitydensity f,belonging to the family C_(ka),i.e.the family of all densities whose partialderivatives of order k are bounded by a.It is desired to estimate the value of f at somepredetermined point a,for example a=0.Farrell obtained some results concerning the bestpossible convergence rates for all estimator sequence,from which it follows,for example,thatthere exists no estimator sequence{γ_n(0)=γ_n(X_1,…,X_n,0)}such that(?)E_f[γ_n(0)-f(0)]~2=o(n~(-2k/(2k m))).This article pursues this problem further and proves that there existsno estimator sequence{γ_n(0)}such thatn~(-k/(2k m))(γ_n(0)-f(0))(?)0,for each f∈C_(ka),where(?)denotes convergence in probability.     

A Two-Grid Finite Element Approximation for Nonlinear Time Fractional Two-Term Mixed Sub-Diffusion and Diffusion Wave Equations

In this paper, we develop a two-grid method (TGM) based on the FEM for 2D nonlinear time fractional two-term mixed sub-diffusion and diffusion wave equations. A two-grid algorithm is proposed for solving the nonlinear system, which consists of two steps: a nonlinear FE system is solved on a coarse grid, then the linearized FE system is solved on the fine grid by Newton iteration based on the coarse solution. The fully discrete numerical approximation is analyzed, where the Galerkin finite element method for the space derivatives and the finite difference scheme for the time Caputo derivative with order $\alpha\in(1,2)$ and $\alpha_{1}\in(0,1)$. Numerical stability and optimal error estimate $O(h^{r+1}+H^{2r+2}+\tau^{\min\{3-\alpha,2-\alpha_{1}\}})$ in $L^{2}$-norm are presented for two-grid scheme, where $t,$ $H$ and $h$ are the time step size, coarse grid mesh size and fine grid mesh size, respectively. Finally, numerical experiments are provided to confirm our theoretical results and effectiveness of the proposed algorithm.     

一类非线性分数阶薛定谔-泊松系统非零解的存在性

本文研究了分数阶薛定谔-泊松系统$$\left\{\begin{array}{l}(-\Delta)^su+u+\phi u=\lambda f(u)\ \text {in} \ \mathbb {R}^3, \\ (-\Delta)^{\alpha}\phi =u^2\ \text {in} \ \mathbb {R}^3\emph{},\end{array}\right. $$ 非零解的存在性, 其中$s\in (\frac{3}{4},1), \alpha\in(0,1),\lambda$ 是正参数, $(-\Delta)^s,(-\Delta)^{\alpha}$是分数阶拉普拉斯算子. 在一定的假设条件下, 利用扰动法和Morse迭代法, 得到了系统至少一个非平凡解.     

Local Existence of Strong Solutions to the Generalized MHD Equations

This paper devotes to consider the local existence of the strong solutions to the generalized MHD system with fractional dissipative terms $\Lambda^{2\alpha}u$ for the velocity field and $\Lambda^{2\alpha}b$ for the magnetic field, respectively. We construct the approximate solutions by the Fourier truncation method, and use energy method to obtain the local existence of strong solutions in $H^s(\mathbb{R}^n)\,(s>\max \left\{\frac{n}{2}+1-2\alpha, 0\right\})$ for any $\alpha\geq0$.     

Existence and Global Asymptotic Behavior of Positive Solutions for Sublinear and Superlinear Fractional Boundary Value Problems

In this paper, the authors aim at proving two existence results of fractional differential boundary value problems of the form(P_(a,b)){D~αu(x) + f(x, u(x)) = 0, x ∈(0, 1),u(0) = u(1) = 0, D~(α-3)u(0) = a, u(1) =-b,where 3 α≤ 4, Dαis the standard Riemann-Liouville fractional derivative and a, b are nonnegative constants. First the authors suppose that f(x, t) =-p(x)t~σ, with σ∈(-1, 1)and p being a nonnegative continuous function that may be singular at x = 0 or x = 1and satisfies some conditions related to the Karamata regular variation theory. Combining sharp estimates on some potential functions and the Sch¨auder fixed point theorem, the authors prove the existence of a unique positive continuous solution to problem(P_(0,0)).Global estimates on such a solution are also obtained. To state the second existence result, the authors assume that a, b are nonnegative constants such that a + b 0 and f(x, t) = tφ(x, t), with φ(x, t) being a nonnegative continuous function in(0, 1)×[0, ∞) that is required to satisfy some suitable integrability condition. Using estimates on the Green's function and a perturbation argument, the authors prove the existence and uniqueness of a positive continuous solution u to problem(P_(a,b)), which behaves like the unique solution of the homogeneous problem corresponding to(P_(a,b)). Some examples are given to illustrate the existence results.     

Borderline Weighted Estimates for Commutators of Fractional Integrals

Let $I_{\alpha,\vec{b}}$ be the multilinear commutators of the fractional integrals $I_{\alpha}$ with the symbol $\vec{b}=(b_1, \cdots,b_k )$. We show that the constant of borderline weighted estimates for $I_{\alpha}$ is $\frac{1}{{\varepsilon}}$, and for $I_{\alpha,{\vec{b}}}$ is $\frac{1}{{\varepsilon}^{k+1}}$ with each $b_i$ belongs to the Orlicz space $Osc_{\exp L^{s_i}}$.     

局部分数阶拉普拉斯算子的狄利克雷问题弱解的细正则性

In this paper, we study the Holder regularity of weak solutions to the Dirichlet problem associated with the regional fractional Laplacian (-△)^αΩ on a bounded open set Ω ■R(N ≥ 2) with C^(1,1) boundary ■Ω. We prove that when f ∈ L^p(Ω), and g ∈ C(Ω), the following problem (-△)^αΩu = f in Ω, u = g on ■Ω, admits a unique weak solution u ∈ W^(α,2)(Ω) ∩ C(Ω),where p >N/2-2α and 1/2< α < 1. To solve this problem, we consider it into two special cases, i.e.,g ≡ 0 on ■Ω and f ≡ 0 in Ω. Finally, taking into account the preceding two cases, the general conclusion is drawn.     

Abdellatif Ghendir Aoun

In this paper, we study a fractional differential equation $$^{c}D^{\alpha}_{0^{+}}u(t)+f(t,u(t))=0,\quad t\in(0, +\infty)$$ satisfying the boundary conditions: $$u^{\prime}(0)=0,\quad \lim_{t\rightarrow +\infty}\,^{c}D^{\alpha-1}_{0^{+}}u(t)=g(u),$$ where $1<\alpha\leqslant2$, $^{c}D^{\alpha}_{0^{+}}$ is the standard Caputo fractional derivative of order $\alpha$. The main tools used in the paper is contraction principle in the Banach space and the fixed point theorem due to D. O''Regan. Some the compactness criterion and existence of solutions are established.     

On $L_p$-solution of fractional heat equation driven by fractional Brownian motion

In this paper, we study the fractional stochastic heat equation driven by fractional Brownian motions of the form $$ du(t,x)=\left(-(-\Delta)^{\alpha/2}u(t,x)+f(t,x)\right)dt +\sum\limits^{\infty}_{k=1} g^k(t,x)\delta\beta^k_t $$ with $u(0,x)=u_0$, $t\in[0,T]$ and $x\in\mathbb{R}^d$, where $\beta^k=\{\beta^k_t,t\in[0,T]\},k\geq1$ is a sequence of i.i.d. fractional Brownian motions with the same Hurst index $H>1/2$ and the integral with respect to fractional Brownian motion is Skorohod integral. By adopting the framework given by Krylov, we prove the existence and uniqueness of $L_p$-solution to such equation.     

UNUNIQUENESS OF SOME HOLOMORPHIC FUNCTIONS

In the present paper, we show that there exist a bounded, holomorphic function $\[f(z) \ne 0\]$ in the domain $\[\{ z = x + iy:\left| y \right| < \alpha \} \]$ such that $\[f(z)\]$ has a Dirichlet expansion $\[\sum\limits_{n = 0}^{ + \infty } {{d_n}{e^{ - {u_n}}}} \]$ in the halfplane $\[x > {x_f}\]$ if and only if $\[\frac{a}{\pi }\log r - \sum\limits_{{u_n} < r} {\frac{2}{{{u_n}}}} \]$ has a finite upperbound on $\[[1, + \infty )\]$, where $\[\alpha \]$ is a positive constant,$\[{x_f}( < + \infty )\]$ is the abscissa of convergence of $\[\sum\limits_{n = 0}^{ + \infty } {{d_n}{e^{ - {u_n}}}} \]$ and the infinite sequence $\[\{ {u_n}\} \]$ satisfies $\[\mathop {\lim }\limits_{n \to + \infty } ({u_{n + 1}} - {u_n}) > 0\]$. We also point out some necessary conditions and sufficient ones Such that a bounded holomorphic function in an angular(or half-band) domain is identically zero if an infinite sequence of its derivatives and itself vanish at some point of the domain. Here some result are generalizations of those in [4].     

由$q$-积分算子定义的某些亚纯函数类的Fekete-Szeg\"{o}问题

本文首先引入满足如下条件$$-\frac{qzD_{q}f(z)}{f(z)}\prec \varphi (z)$$和$$\frac{-(1-\frac{\alpha }{q})qzD_{q}f(z)+\alpha qzD_{q}[zD_{q}f(z)]}{(1-\frac{\alpha}{q})f(z)-\alpha zD_{q}f(z)}\prec \varphi (z)~(\alpha \in\mathbb{C}\backslash (0,1],\ 0相似文献   

On a semilinear double fractional heat equation driven by fractional Brownian sheet

In this paper, we consider the stochastic heat equation of the form $$\frac{\partial u}{\partial t}=(\Delta_\alpha+\Delta_\beta)u+\frac{\partial f}{\partial x}(t,x,u)+\frac{\partial^2W}{\partial t\partial x},$$ where $1<\beta<\alpha< 2$, $W(t,x)$ is a fractional Brownian sheet, $\Delta_\theta:=-(-\Delta)^{\theta/2}$ denotes the fractional Lapalacian operator and $f:[0,T]\times \mathbb{R}\times \mathbb{R}\rightarrow\mathbb{R}$ is a nonlinear measurable function. We introduce the existence, uniqueness and H\"older regularity of the solution. As a related question, we consider also a large deviation principle associated with the above equation with a small perturbation via an equivalence relationship between Laplace principle and large deviation principle.