Zero–One Law for some Brownian Functionals

We prove that for a>0, (B _t) one-dimensional standard Brownian motion and ₀=inf{t>0 : B _t=0} the following zero–one law is valid

Estimation of integrated volatility in stochastic volatility models

In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log‐returns). We derive consistency and distributional results for the estimators given high‐frequency data, especially taking into account what kind of process we may add to our model without affecting the estimate of the integrated volatility. This may on the one hand be interpreted as a possible flexibility in modelling, for example adding jumps or even leaving the framework of semimartingales by adding a fractional Brownian motion, or on the other hand as robustness against model misspecification. We will discuss possible choices of p under different model assumptions and irregularly spaced data. Copyright © 2005 John Wiley & Sons, Ltd.     

Brownian surfaces with boundary and Deligne cohomology

We define differentiable random surfaces, which realize a kind of generalized parallel transport for line bundles over the loop space. This gives a realization of one of the axioms of Segal of conformal field theory.     

On the Entangled Fractional Fourier Transform in Tripartite Entangled State Representation

Based on the newly constructed two mutually conjugate 3-mode entangled states of continuum variablesin three-mode Fock space we introduce entangled fractional Fourier transform (EFFT) for the tripartite entangled staterepresentations, which are not a direct product of three 1-dimensional FFTs. The eigenmodes of EFFT are obtained,which is different from the usual Hermite polynomials. The EFFT of the three-mode squeezed state is derived.     

Difference operators,Green's matrix,sampling theory and applications in signal processing

This paper introduces sampling representations for discrete signals arising from self adjoint difference operators with mixed boundary conditions. The theory of linear operators on finite-dimensional inner product spaces is employed to study the second-order difference operators. We give necessary and sufficient conditions that make the operators self adjoint. The equivalence between the difference operator and a Hermitian Green's matrix is established. Sampling theorems are derived for discrete transforms associated with the difference operator. The results are exhibited via illustrative examples, involving sampling representations for the discrete Hartley transform. Families of discrete fractional Fourier-type transforms are introduced with an application to image encryption.     

Endpoint Estimates for Generalized Multilinear Fractional Integrals on the Non-homogeneous Metric Spaces

In this paper, some endpoint estimates for the generalized multilinear fractional integrals I_(α,m) on the non-homogeneous metric spaces are established.     

具有脉冲的分数阶Bagley-Torvik 模型边值问题

将具有脉冲的分数阶Bagley-Torvik微分方程边值问题巧妙地转化为积分方程,定义加权Banach空间及全连续算子,运用不动点定理获得该边值问题解的存在性定理.举例说明了定理的应用.最后提出有趣的研究问题.     

Existence theorems and Hyers-Ulam stability for a class of Hybrid fractional differential equations with $p$-Laplacian operator

In this paper, we prove necessary conditions for existence and uniqueness of solution (EUS) as well Hyers-Ulam stability for a class of hybrid fractional differential equations (HFDEs) with $p$-Laplacian operator. For these aims, we take help from topological degree theory and Leray Schauder-type fixed point theorem. An example is provided to illustrate the results.     

Fractional model and solution for the Black‐Scholes equation

This work presents a new model of the fractional Black‐Scholes equation by using the right fractional derivatives to model the terminal value problem. Through nondimensionalization and variable replacements, we convert the terminal value problem into an initial value problem for a fractional convection diffusion equation. Then the problem is solved by using the Fourier‐Laplace transform. The fundamental solutions of the derived initial value problem are given and simulated and display a slow anomalous diffusion in the fractional case.