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.     

Weak attractors for the dissipative fractional Heisenberg equation

In this short paper, we consider the long time behaviors of the fractional Heisenberg equation and the existence of a global weak attractor is proved for the shift dynamics in the path space. The key ingredient is some new type of commutator structure introduced in this paper, which seems indispensable in proving the compactness of the dynamics. The technique introduced in this paper may also be useful to other fractional order partial differential equations.     

Semilinear fractional integro-differential equations with compact semigroup

In this paper, we study the local and global existence of mild solutions to a class of fractional integro-differential equations in an arbitrary Banach space associated with operators generating compact semigroup on the Banach space.     

A Revision of the Trapezoidal Branch-and-Bound Algorithm for Linear Sum-of-Ratios Problems

In this paper, we point out a theoretical flaw in Kuno [(2002)Journal of Global Optimization 22, 155–174] which deals with the linear sum-of-ratios problem, and show that the proposed branch-and-bound algorithm works correctly despite the flaw. We also note a relationship between a single ratio and the overestimator used in the bounding operation, and develop a procedure for tightening the upper bound on the optimal value. The procedure is not expensive, but the revised algorithms incorporating it improve significantly in efficiency. This is confirmed by numerical comparisons between the original and revised algorithms. The author was partially supported by the Grand-in-Aid for Scientific Research (C)(2) 15560048 from the Japan Society for the Promotion of Science.     

Some subclasses of multivalent functions involving a certain linear operator

The authors investigate various inclusion and other properties of several subclasses of the class Ap of normalized p-valent analytic functions in the open unit disk, which are defined here by means of a certain linear operator. Problems involving generalized neighborhoods of analytic functions in the class Ap are investigated. Finally, some applications of fractional calculus operators are considered.     

Existence and uniqueness of mild solutions to a semilinear integrodifferential equation of fractional order

In this paper, we prove some existence and uniqueness of mild solutions for a semilinear integrodifferential equation of fractional order with nonlocal initial conditions in α-norm. We assume that the linear part generates a noncompact analytic semigroup. Our results cover the cases that the nonlinearity F takes values in different spaces such as X,X_α and X_β, where α≤β(0,1). Finally, some practical consequences are also obtained.     

Darboux problem for perturbed partial differential equations of fractional order with finite delay

In this paper we investigate the existence of solutions for functional partial perturbed hyperbolic differential equations with fractional order. These results are based upon a fixed point theorem for the sum of contraction and compact operators.     

Skewness Term-Structure Tests

In this paper, we conduct skewness term-structure tests to check whether the temporal structure of risk-neutral skewness is consistent with rational expectations. Because risk-neutral skewness is substantially mean reverting, skewness shocks should decay quickly and risk-neutral skewness of more distant option should display the rationally expected smoothing behaviour. Using an equilibrium asset and option-pricing model in a production economy under jump diffusion with stochastic jump intensity, we derive this elasticity analytically. In an empirical application of the model using more than 20 years of data on S&P500 index options, we find that this elasticity turns out to be different than suggested under rational expectations – smaller on the short end (underreaction) and larger on the long end (overreaction) of the ‘skewness curve’.     

Large deviation principle for enhanced Gaussian processes

We study large deviation principles for Gaussian processes lifted to the free nilpotent group of step N. We apply this to a large class of Gaussian processes lifted to geometric rough paths. A large deviation principle for enhanced (fractional) Brownian motion, in Hölder- or modulus topology, appears as special case.     

Estimating the efficient price from the order flow: A Brownian Cox process approach

At the ultra high frequency level, the notion of price of an asset is very ambiguous. Indeed, many different prices can be defined (last traded price, best bid price, mid price, etc.). Thus, in practice, market participants face the problem of choosing a price when implementing their strategies. In this work, we propose a notion of efficient price which seems relevant in practice. Furthermore, we provide a statistical methodology enabling to estimate this price from the order flow.