arXiv research

In this work we present a new approach on studying dynamical systems. Combining the two ways of expressing the uncertainty, using probabilistic theory and credibility theory, we have research the generalized fractional hybrid equations. We have introduced the concepts of generalized fractional Wiener process, generaliz…

In this paper we established the condition for a curve to satisfy stochas- tic fractional HP (Hamilton-Pontryagin) equations. These equations are described using It^o integral. We have also considered the case of stochastic fractional Hamiltonian equa- tions, for a hyperregular Lagrange function. From the stochastic fr…

Study solves inverse problems for equations with fractional nonlinearities.

Fractional Sobolev metrics on immersions are well-posed.

Researchers study fractional porous medium equation on hyperbolic space.

Score-fPINN tackles high-dimensional FPL equations using fractional score functions.

Methods from the geometry of nonholonomic manifolds and Lagrange-Finsler spaces are applied in fractional calculus with Caputo derivatives and for elaborating models of fractional gravity and fractional Lagrange mechanics. The geometric data for such models are encoded into (fractional) bi-Hamiltonian structures and as…

Extends fractional $L^p$ uncertainty principles with extremizers and stability results.

Develops fractional de Rham theory for Maxwell equations.

Study fractional Allen-Cahn equation and nonlocal minimal surfaces, improving energy and perimeter estimates.

In this paper we study smooth solutions to a fractional mean curvature flow equation. We establish a comparison principle and consequences such as uniqueness and finite extinction time for compact solutions. We also establish evolutions equations for fractional geometric quantities that yield preservation of certain qu…

Study nonnegative solutions on Riemannian manifolds using fractional porous medium equation.

Long and short memory in economic processes is usually described by the so-called discrete fractional differencing and fractional integration. We prove that the discrete fractional differencing and integration are the Grunwald-Letnikov fractional differences of non-integer order d. Equations of ARIMA(p,d,q) and ARFIMA(…

Data-driven discovery of "hidden physics" -- i.e., machine learning of differential equation models underlying observed data -- has recently been approached by embedding the discovery problem into a Gaussian Process regression of spatial data, treating and discovering unknown equation parameters as hyperparameters of a…

Study finds non-uniqueness in sphere metrics with constant fractional curvature.

This paper derives the non-analytic solution to the Fokker-Planck equation of fractional Brownian motion using the method of Laplace transform. Sequentially, by considering the fundamental solution of the non-analytic solution, this paper obtains the transition probability density function of the random variable that i…

Fractional porous media equations yield q-Gaussian solutions for stock price returns.

Using the fractional integration and differentiation on R we build the fractional jet fibre bundle on a differentiable manifold and we emphasize some important geometrical objects. Euler-Lagrange fractional equations are described. Some significant examples from mechanics and economics are presented.

Volatility roughness studied using fractional noise-driven models.

Continuous time random walks impose a random waiting time before each particle jump. Scaling limits of heavy tailed continuous time random walks are governed by fractional evolution equations. Space-fractional derivatives describe heavy tailed jumps, and the time-fractional version codes heavy tailed waiting times. Thi…

We introduce a fractional Yamabe flow involving nonlocal conformally invariant operators on the conformal infinity of asymptotically hyperbolic manifolds, and show that on the conformal spheres $(\Sn, [g_{\Sn}])$, it converges to the standard sphere up to a Möbius diffeomorphism. This result allows us to obtain extinct…

We formulate the fractional Ricci flow theory for (pseudo) Riemannian geometries enabled with nonholonomic distributions defining fractional integro-differential structures, for non-integer dimensions. There are constructed fractional analogs of Perelman's functionals and derived the corresponding fractional evolution …

Accelerators with power-law memory are proposed in the framework of the discrete time approach. To describe discrete accelerators we use the capital stock adjustment principle, which has been suggested by Matthews.The suggested discrete accelerators with memory describe the economic processes with the power-law memory …

Improved options pricing for two assets using fractional calculus.

It has been recently shown that rough volatility models, where the volatility is driven by a fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce the behavior of both historical and implied volatilities. However, due to the non-Markovian nature of the fractional Br…

Paper finds infinitely many solutions changing sign for critical fractional equations.

We solve a family of fractional Riccati differential equations with constant (possibly complex) coefficients. These equations arise, e.g., in fractional Heston stochastic volatility models, that have received great attention in the recent financial literature thanks to their ability to reproduce a rough volatility beha…

Defines a new process for financial modeling.

We study hypersurfaces of $\mathbb{R}^N$ with constant nonlocal (or fractional) mean curvature. This is the equation associated to critical points of the fractional perimeter functional under a volume constraint. We establish the existence of a smooth branch of periodic cylinders in $\mathbb{R}^N$, $N\geq 2$, all of th…

Study approximates rough stochastic volatility models using diffusion processes.

We extend neural networks with fractional and mixed activation functions for better function approximation.

In this paper we consider the functional whose critical points are solutions of the fractional CR Yamabe type equation on the sphere. We firstly study the behavior of the Palais-Smale sequences characterizing the bubbling phenomena and therefore we prove a multiplicity type result by showing the existence of infinitely…

We construct a three-point compact finite difference scheme on a non-uniform mesh for the time-fractional Black-Scholes equation. We show that for special graded meshes used in finance, the Tavella-Randall and the quadratic meshes the numerical solution has a fourth-order accuracy in space. Numerical experiments are di…

Paper approximates fractional harmonic maps with numerical methods.

Based on empirical market data, a stochastic volatility model is proposed with volatility driven by fractional noise. The model is used to obtain a risk-neutrality option pricing formula and an option pricing equation.

Paper develops Euler scheme for fractional delay diff. eqs with additive noise.

Unified treatment of two extension problems using heat equation in Heisenberg group.

We determine Kelly criterion for a game with variable pay-off. The Kelly fraction satisfies a fundamental integral equation and is smaller than the classical Kelly fraction for the same game with the constant average pay-off.

In this paper we give describe a new connection between the dilogarithm function and solutions to Pell's equation $x^2-ny^2 = \pm 1$. For each solution $x,y$ to Pell's equation we obtain a dilogarithm identity whose terms are given by the continued fraction expansion of the associated unit $x+y\sqrt{n} \in \Z[\sqrt{n}]…

The issue addressed in this paper is that of testing for common breaks across or within equations of a multivariate system. Our framework is very general and allows integrated regressors and trends as well as stationary regressors. The null hypothesis is that breaks in different parameters occur at common locations and…

Modeling financial markets with memory using fractional calculus and Brownian motion.

New model uses generalized fractional Brownian motion for stock price prediction.

Smoothness of graphs evolving by fractional mean curvature is proven.

This study deals with the problem of pricing European currency options in discrete time setting, whose prices follow the fractional Black Scholes model with transaction costs. Both the pricing formula and the fractional partial differential equation for European call currency options are obtained by applying the delta-…

Here a new notion of fractional length of a smooth curve, which depends on a parameter $σ$, is introduced that is analogous to the fractional perimeter functional of sets that has been studied in recent years. It is shown that in an appropriate limit the fractional length converges to the traditional notion of length u…

We study the fractional gravity for spacetimes with non-integer dimensions. Our constructions are based on a geometric formalism with the fractional Caputo derivative and integral calculus adapted to nonolonomic distributions. This allows us to define a fractional spacetime geometry with fundamental geometric/physical …

Study on well-posedness of EPDiff equations with pseudo-differential inertia.

The paper extends Merton model to price equity warrants under subdiffusive fractional Brownian motion of the short rate.