The application of fractional derivatives in stochastic models driven by fractional Brownian motion

In this paper, in order to establish connection between fractional derivative and fractional Brownian motion (FBM), we first prove the validity of the fractional Taylor formula proposed by Guy Jumarie. Then, by using the properties of this Taylor formula, we derive a fractional Itô formula for H∈[1/2,1), which coincides in form with the one proposed by Duncan for some special cases, whose formula is based on the Wick Product. Lastly, we apply this fractional Itô formula to the option pricing problem when the underlying of the option contract is supposed to be driven by a geometric fractional Brownian motion. The case that the drift, volatility and risk-free interest rate are all dependent on t is also discussed.     

KP hierarchy for Hodge integrals

Starting from the ELSV formula, we derive a number of new equations on the generating functions for Hodge integrals over the moduli space of complex curves. This gives a new simple and uniform treatment of certain known results on Hodge integrals like Witten's conjecture, Virasoro constrains, Faber's λg-conjecture, etc. Among other results we show that a properly arranged generating function for Hodge integrals satisfies the equations of the KP hierarchy.     

A simple formula for an analogue of conditional wiener integrals and its applications II

Let C[0, T] denote the space of real-valued continuous functions on the interval [0, T] with an analogue w _ϕ of Wiener measure and for a partition 0 = t ₀ < t ₁ < ... < t _n < t _n+1 = T of [0, T], let X _n : C[0, T] → ℝ ⁿ⁺¹ and X ⁿ⁺¹: C[0, T] → ℝ ⁿ⁺² be given by X _n (x) = (x(t ₀), x(t ₁), ..., x(t _n )) and X _n+1(x) = (x(t ₀), x(t ₁), ..., x(t _n+1)), respectively. In this paper, using a simple formula for the conditional w _ϕ-integral of functions on C[0, T] with the conditioning function X _n+1, we derive a simple formula for the conditional w _ϕ-integral of the functions with the conditioning function X _n . As applications of the formula with the function X _n , we evaluate the conditional w _ϕ-integral of the functions of the form F _m (x) = ∫₀ ^T (x(t)) ^m for x ∈ C[0, T] and for any positive integer m. Moreover, with the conditioning X _n , we evaluate the conditional w _ϕ-integral of the functions in a Banach algebra which is an analogue of the Cameron and Storvick’s Banach algebra . Finally, we derive the conditional analytic Feynman w _ϕ-integrals of the functions in .      

Comments on generalized Heron polynomials and Robbins’ conjectures

Heron’s formula for a triangle gives a polynomial for the square of its area in terms of the lengths of its three sides. There is a very similar formula, due to Brahmagupta, for the area of a cyclic quadrilateral in terms of the lengths of its four sides. (A polygon is cyclic if its vertices lie on a circle.) In both cases if A is the area of the polygon, (4A)² is a polynomial function of the square in the lengths of its edges. David Robbins in [D.P. Robbins, Areas of polygons inscribed in a circle, Discrete Comput. Geom. 12 (2) (1994) 223-236. MR 95g:51027; David P. Robbins, Areas of polygons inscribed in a circle, Amer. Math. Monthly 102 (6) (1995) 523-530. MR 96k:51024] showed that for any cyclic polygon with n edges, (4A)² satisfies a polynomial whose coefficients are themselves polynomials in the edge lengths, and he calculated this polynomial for n=5 and n=6. He conjectured the degree of this polynomial for all n, and recently Igor Pak and Maksym Fedorchuk [Maksym Fedorchuk, Igor Pak, Rigidity and polynomial invariants of convex polytopes, Duke Math. J. 129 (2) (2005) 371-404. MR 2006f:52015] have shown that this conjecture of Robbins is true. Robbins also conjectured that his polynomial is monic, and that was shown in [V.V. Varfolomeev, Inscribed polygons and Heron polynomials (Russian. Russian summary), Mat. Sb. 194 (3) (2003) 3-24. MR 2004d:51014]. A short independent proof will be shown here.     

Stochastic population dynamics under regime switching II

This is a continuation of our paper [Q. Luo, X. Mao, Stochastic population dynamics under regime switching, J. Math. Anal. Appl. 334 (2007) 69-84] on stochastic population dynamics under regime switching. In this paper we still take both white and color environmental noise into account. We show that a sufficient large white noise may make the underlying population extinct while for a relatively small noise we give both asymptotically upper and lower bound for the underlying population. In some special but important situations we precisely describe the limit of the average in time of the population.     

Atkinson's formula for Hardy's function

An analogue of Atkinson's formula is proved for the integral function of Hardy's function Z(t). As an application of this formula, we analyze the behavior of the function F(T) showing that it can be approximated by a simple step-function. It follows that F(T)=O(T1/4) and F(T)=Ω_±(T1/4); these results were recently obtained by M.A. Korolev using an alternative method.     

A fourth degree integration formula for the n-dimensional simplex

A fourth degree integration formula is given for the n-dimensional simplex for all n2, which is invariant under the group G of all affine transformations of T_n onto itself. The formula contains (n²+5n+6)/2 nodes.     

The Generalized Prime Number Theorem for Automorphic L-Functions

Let π and π' be automorphic irreducible cuspidal representations of GLm (QA) and GLm', (QA), respectively, and L(s,π×(～π)') be the Rankin-Selberg L-function attached to π and π'. Without assuming the Generalized Ramanujan Conjecture (GRC), the author gives the generalized prime number theorem for L(s, π×(～π)') when π(=)π'. The result generalizes the corresponding result of Liu and Ye in 2007.     

A SPECTRAL METHOD FOR PANTOGRAPH-TYPE DELAY DIFFERENTIAL EQUATIONS AND ITS CONVERGENCE ANALYSIS

We propose a novel numerical approach for delay differential equations with vanishing proportional delays based on spectral methods. A Legendre-collocation method is employed to obtain highly accurate numerical approximations to the exact solution. It is proved theoretically and demonstrated numerically that the proposed method converges exponentially provided that the data in the are smooth. given pantograph delay differential equation     

On coefficient estimates for a class of holomorphic mappings

Let X be a complex Banach space with norm ‖ · ‖, B be the unit ball in X, D ⁿ be the unit polydisc in ℂ ⁿ . In this paper, we introduce a class of holomorphic mappings on B or D ⁿ . Let f(x) be a normalized locally biholomorphic mapping on B such that (Df(x))⁻¹ f(x) ∈ and f(x) − x has a zero of order k + 1 at x = 0. We obtain coefficient estimates for f(x). These results unify and generalize many known results. This work was supported by National Natural Science Foundation of China (Grant No. 10571164), Specialized Research Fund for the Doctoral Program of Higher Education (Grant No. 20050358052), the Jiangxi Provincial Natural Science Foundation of China (Grant No. 2007GZS0177) and Specialized Research Fund for the Doctoral Program of Jiangxi Normal University.