arXiv research

Using the reviewed Riemann-Liouville fractional derivative we introduce the fractional osculator Lagrange space of k order and the main structures on it. The results are applied at the k order fractional prolongation of Lagrange, Finsler and Riemann fractional structures.

Study fractional structures on bundle gerbe modules using rational homotopy theory.

Fractional combinatorial flow improves surface conformal structures.

Using Caputo fractional derivative of order $α$ we build the fractional jet bundle of order $α$ and its main geometrical structures. Defined on that bundle, some fractional dynamical systems with applications to economics are studied.

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…

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 …

Researchers solve the Calderón problem for fractional Dirac operators.

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

We derive an extremal fractional Gaussian by employing the Lévy-Khintchine theorem and Lévian noise. With the fractional Gaussian we then generalize the Black-Scholes-Merton option-pricing formula. We obtain an easily applicable and exponentially convergent option-pricing formula for fractional markets. We also carry o…

Fractional Laplacian inverse problem solved for connection Laplacians.

Empirical studies show that the volatility may exhibit correlations that decay as a fractional power of the time offset. The paper presents a rigorous analysis for the case when the stationary stochastic volatility model is constructed in terms of a fractional Ornstein Uhlenbeck process to have such correlations. It is…

We define symplectic fractional twists, which generalize Dehn twists, and use these in open books to investigate contact structures. The resulting contact structures are invariant under a circle action, and share several similarities with the invariant contact structures that were studied by Lutz and Giroux. We show th…

Study proves certain algebraic structures are symmetric Frobenius algebras.

This paper investigates integer multiplication of continued fractions using geometric structures. In particular, this paper shows that integer multiplication of a continued fraction can be represented by replacing one triangulation of an orbifold with another triangulation. This method is used to show that eventually p…

Based on the relations between scattering operators of asymptotically hyperbolic metrics and Dirichlet-to-Neumann operators of uniformly degenerate elliptic boundary value problems, we formulate fractional Yamabe problems that include the boundary Yamabe problem studied by Escobar. We observe an interesting Hopf type m…

Fractional processes have gained popularity in financial modeling due to the dependence structure of their increments and the roughness of their sample paths. The non-Markovianity of these processes gives, however, rise to conceptual and practical difficulties in computation and calibration. To address these issues, we…

The sub-fractional Brownian motion (sfBm) is a stochastic process, characterized by non-stationarity in their increments and long-range dependency, considered as an intermediate step between the standard Brownian motion (Bm) and the fractional Brownian motion (fBm). The mixed process, a linear combination between a Bm …

In this work we introduce Heath-Jarrow-Morton (HJM) interest rate models driven by fractional Brownian motions. By using support arguments we prove that the resulting model is arbitrage free under proportional transaction costs in the same spirit of Guasoni [Math. Finance 16 (2006) 569-582]. In particular, we obtain a …

RP-GFRFT unifies fractional order and rotation control for graph signals.

We survey the use of continued fraction expansions in the algebraical and topological study of complex analytic singularities. We also prove new results, firstly concerning a geometric duality with respect to a lattice between plane supplementary cones and secondly concerning the existence of a canonical plumbing struc…

FDBM models use fractional Brownian motion to model complex stochastic processes.

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…

Magnitude study on manifolds using fractional Laplacian.

We construct a new process using a fractional Brownian motion and a fractional Ornstein-Uhlenbeck process of the Second Kind as building blocks. We consider the increments of the new process in discrete time and, as a result, we obtain a more parsimonious process with similar autocovariance structure to that of a FARIM…

Study simulates liquidity in fractional ownership markets using ABM.

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…

Study on fractional Sobolev metrics on curves, proving completeness and geodesic properties.

Fractional Dehn twists give a measure of the difference between the relative isotopy class of a homeomorphism of a bordered surface and the Thurston representative of its free isotopy class. We show how to estimate and compute these invariants. We discuss the the relationship of our work to stabilization problems in cl…

Introduces fractional k-dimensional measure bridging fractional length and area.

The theory of derivative of noninteger order goes back to Leibniz, Liouville and Riemann. Derivatives of fractional order have found many applications in recent studies in mechanics, physics, economics. In this paper we define the fractional tangent bundle on a manifold, using a method of Radu Miron. The fractional Lei…

Let $S_g$ be a closed orientable surface of genus $g \geq 2$ and $C$ a simple closed nonseparating curve in $F$. Let $t_C$ denote a left handed Dehn twist about $C$. A \textit{fractional power} of $t_C$ of \textit{exponent} $\fraction{\ell}{n}$ is an $h \in \Mod(S_g)$ such that $h^n = t_C^{\ell}$. Unlike a root of a $t…

Volatility roughness studied using fractional noise-driven models.

Study of hyperbolic 3-manifolds via fractional Dehn twists and cusp geometry.

Develops fractional de Rham theory for Maxwell equations.

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

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(…

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…

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 …

Approximates derivative pricing under fractional stochastic volatility.

New method uses fractional posteriors for semiparametric inference with improved uncertainty quantification.

We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term structure is summarized and shown to be equivalent to a particular type of the reduced form credit risk model, the fractional recovery of market value approach. We argue that the corporate p…

FSD-CAP improves graph feature imputation under high missing rates.

Proof of contact structure from taut foliation for certain knots.

In this paper we introduce a link between geometry of ordinary continued fractions and trajectories of points that moves according to the second Kepler law. We expand geometric interpretation of ordinary continued fractions to the case of continued fractions with arbitrary elements.

The paper studies inequalities for fractional GJMS operators on conformal infinity.

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.

New conjectures link SU(r) Vafa-Witten invariants to Ramanujan's continued fractions.

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