Stochastic Models For Fractional Calculus

Author : Mark M. Meerschaert,Alla Sikorskii
Publisher : Walter de Gruyter GmbH & Co KG
Page : 421 pages
File Size : 51,8 Mb
Release : 2019-10-21
Category : Mathematics
ISBN : 9783110559149

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Stochastic Models for Fractional Calculus by Mark M. Meerschaert,Alla Sikorskii Pdf

Fractional calculus is a rapidly growing field of research, at the interface between probability, differential equations, and mathematical physics. It is used to model anomalous diffusion, in which a cloud of particles spreads in a different manner than traditional diffusion. This monograph develops the basic theory of fractional calculus and anomalous diffusion, from the point of view of probability. In this book, we will see how fractional calculus and anomalous diffusion can be understood at a deep and intuitive level, using ideas from probability. It covers basic limit theorems for random variables and random vectors with heavy tails. This includes regular variation, triangular arrays, infinitely divisible laws, random walks, and stochastic process convergence in the Skorokhod topology. The basic ideas of fractional calculus and anomalous diffusion are closely connected with heavy tail limit theorems. Heavy tails are applied in finance, insurance, physics, geophysics, cell biology, ecology, medicine, and computer engineering. The goal of this book is to prepare graduate students in probability for research in the area of fractional calculus, anomalous diffusion, and heavy tails. Many interesting problems in this area remain open. This book will guide the motivated reader to understand the essential background needed to read and unerstand current research papers, and to gain the insights and techniques needed to begin making their own contributions to this rapidly growing field.

Author : A.M. Mathai,H.J. Haubold
Publisher : Springer
Page : 234 pages
File Size : 44,7 Mb
Release : 2017-07-25
Category : Mathematics
ISBN : 9783319599939

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Fractional and Multivariable Calculus by A.M. Mathai,H.J. Haubold Pdf

This textbook presents a rigorous approach to multivariable calculus in the context of model building and optimization problems. This comprehensive overview is based on lectures given at five SERC Schools from 2008 to 2012 and covers a broad range of topics that will enable readers to understand and create deterministic and nondeterministic models. Researchers, advanced undergraduate, and graduate students in mathematics, statistics, physics, engineering, and biological sciences will find this book to be a valuable resource for finding appropriate models to describe real-life situations. The first chapter begins with an introduction to fractional calculus moving on to discuss fractional integrals, fractional derivatives, fractional differential equations and their solutions. Multivariable calculus is covered in the second chapter and introduces the fundamentals of multivariable calculus (multivariable functions, limits and continuity, differentiability, directional derivatives and expansions of multivariable functions). Illustrative examples, input-output process, optimal recovery of functions and approximations are given; each section lists an ample number of exercises to heighten understanding of the material. Chapter three discusses deterministic/mathematical and optimization models evolving from differential equations, difference equations, algebraic models, power function models, input-output models and pathway models. Fractional integral and derivative models are examined. Chapter four covers non-deterministic/stochastic models. The random walk model, branching process model, birth and death process model, time series models, and regression type models are examined. The fifth chapter covers optimal design. General linear models from a statistical point of view are introduced; the Gauss–Markov theorem, quadratic forms, and generalized inverses of matrices are covered. Pathway, symmetric, and asymmetric models are covered in chapter six, the concepts are illustrated with graphs.

Author : Mark M. Meerschaert,Alla Sikorskii
Publisher : Walter de Gruyter GmbH & Co KG
Page : 337 pages
File Size : 55,8 Mb
Release : 2019-10-21
Category : Mathematics
ISBN : 9783110560244

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Stochastic Models for Fractional Calculus by Mark M. Meerschaert,Alla Sikorskii Pdf

Fractional calculus is a rapidly growing field of research, at the interface between probability, differential equations, and mathematical physics. It is used to model anomalous diffusion, in which a cloud of particles spreads in a different manner than traditional diffusion. This monograph develops the basic theory of fractional calculus and anomalous diffusion, from the point of view of probability. In this book, we will see how fractional calculus and anomalous diffusion can be understood at a deep and intuitive level, using ideas from probability. It covers basic limit theorems for random variables and random vectors with heavy tails. This includes regular variation, triangular arrays, infinitely divisible laws, random walks, and stochastic process convergence in the Skorokhod topology. The basic ideas of fractional calculus and anomalous diffusion are closely connected with heavy tail limit theorems. Heavy tails are applied in finance, insurance, physics, geophysics, cell biology, ecology, medicine, and computer engineering. The goal of this book is to prepare graduate students in probability for research in the area of fractional calculus, anomalous diffusion, and heavy tails. Many interesting problems in this area remain open. This book will guide the motivated reader to understand the essential background needed to read and unerstand current research papers, and to gain the insights and techniques needed to begin making their own contributions to this rapidly growing field.

Author : Francesca Biagini,Yaozhong Hu,Bernt Øksendal,Tusheng Zhang
Publisher : Springer Science & Business Media
Page : 330 pages
File Size : 55,8 Mb
Release : 2008-02-17
Category : Mathematics
ISBN : 9781846287978

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Stochastic Calculus for Fractional Brownian Motion and Applications by Francesca Biagini,Yaozhong Hu,Bernt Øksendal,Tusheng Zhang Pdf

The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the resulting theory. Particular emphasis is placed on studying the relations between the different approaches. Readers are assumed to be familiar with probability theory and stochastic analysis, although the mathematical techniques used in the book are thoroughly exposed and some of the necessary prerequisites, such as classical white noise theory and fractional calculus, are recalled in the appendices. This book will be a valuable reference for graduate students and researchers in mathematics, biology, meteorology, physics, engineering and finance.

Author : Giacomo Ascione,Yuliya Mishura,Enrica Pirozzi
Publisher : Walter de Gruyter GmbH & Co KG
Page : 462 pages
File Size : 42,8 Mb
Release : 2023-12-31
Category : Mathematics
ISBN : 9783110780017

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Fractional Deterministic and Stochastic Calculus by Giacomo Ascione,Yuliya Mishura,Enrica Pirozzi Pdf

Author : Dumitru Baleanu
Publisher : World Scientific
Page : 426 pages
File Size : 55,8 Mb
Release : 2012
Category : Mathematics
ISBN : 9789814355216

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Fractional Calculus by Dumitru Baleanu Pdf

The subject of fractional calculus and its applications (that is, convolution-type pseudo-differential operators including integrals and derivatives of any arbitrary real or complex order) has gained considerable popularity and importance during the past three decades or so, mainly due to its applications in diverse fields of science and engineering. These operators have been used to model problems with anomalous dynamics, however, they also are an effective tool as filters and controllers, and they can be applied to write complicated functions in terms of fractional integrals or derivatives of elementary functions, and so on. This book will give readers the possibility of finding very important mathematical tools for working with fractional models and solving fractional differential equations, such as a generalization of Stirling numbers in the framework of fractional calculus and a set of efficient numerical methods. Moreover, we will introduce some applied topics, in particular fractional variational methods which are used in physics, engineering or economics. We will also discuss the relationship between semi-Markov continuous-time random walks and the space-time fractional diffusion equation, which generalizes the usual theory relating random walks to the diffusion equation. These methods can be applied in finance, to model tick-by-tick (log)-price fluctuations, in insurance theory, to study ruin, as well as in macroeconomics as prototypical growth models. All these topics are complementary to what is dealt with in existing books on fractional calculus and its applications. This book was written with a trade-off in mind between full mathematical rigor and the needs of readers coming from different applied areas of science and engineering. In particular, the numerical methods listed in the book are presented in a readily accessible way that immediately allows the readers to implement them on a computer in a programming language of their choice. Numerical code is also provided.

Author : Dumitru Baleanu,Kai Diethelm,Enrico Scalas,Juan J Trujillo
Publisher : World Scientific
Page : 476 pages
File Size : 53,9 Mb
Release : 2016-09-15
Category : Mathematics
ISBN : 9789813140059

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Fractional Calculus by Dumitru Baleanu,Kai Diethelm,Enrico Scalas,Juan J Trujillo Pdf

This book will give readers the possibility of finding very important mathematical tools for working with fractional models and solving fractional differential equations, such as a generalization of Stirling numbers in the framework of fractional calculus and a set of efficient numerical methods. Moreover, we will introduce some applied topics, in particular fractional variational methods which are used in physics, engineering or economics. We will also discuss the relationship between semi-Markov continuous-time random walks and the space-time fractional diffusion equation, which generalizes the usual theory relating random walks to the diffusion equation. These methods can be applied in finance, to model tick-by-tick (log)-price fluctuations, in insurance theory, to study ruin, as well as in macroeconomics as prototypical growth models. All these topics are complementary to what is dealt with in existing books on fractional calculus and its applications. This book will keep in mind the trade-off between full mathematical rigor and the needs of readers coming from different applied areas of science and engineering. In particular, the numerical methods listed in the book are presented in a readily accessible way that immediately allows the readers to implement them on a computer in a programming language of their choice. The second edition of the book has been expanded and now includes a discussion of additional, newly developed numerical methods for fractional calculus and a chapter on the application of fractional calculus for modeling processes in the life sciences.

Author : Yuliya Mishura
Publisher : Springer
Page : 398 pages
File Size : 48,8 Mb
Release : 2008-04-12
Category : Mathematics
ISBN : 9783540758730

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Stochastic Calculus for Fractional Brownian Motion and Related Processes by Yuliya Mishura Pdf

This volume examines the theory of fractional Brownian motion and other long-memory processes. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. It proves that the market with stock guided by the mixed model is arbitrage-free without any restriction on the dependence of the components and deduces different forms of the Black-Scholes equation for fractional market.

Author : Francesca Biagini,Yaozhong Hu,Bernt Øksendal,Tusheng Zhang
Publisher : Springer
Page : 330 pages
File Size : 45,7 Mb
Release : 2009-10-12
Category : Mathematics
ISBN : 1848008937

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Stochastic Calculus for Fractional Brownian Motion and Applications by Francesca Biagini,Yaozhong Hu,Bernt Øksendal,Tusheng Zhang Pdf

The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the resulting theory. Particular emphasis is placed on studying the relations between the different approaches. Readers are assumed to be familiar with probability theory and stochastic analysis, although the mathematical techniques used in the book are thoroughly exposed and some of the necessary prerequisites, such as classical white noise theory and fractional calculus, are recalled in the appendices. This book will be a valuable reference for graduate students and researchers in mathematics, biology, meteorology, physics, engineering and finance.

Author : Oliver Ibe
Publisher : Newnes
Page : 514 pages
File Size : 45,6 Mb
Release : 2013-05-22
Category : Mathematics
ISBN : 9780124078390

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Markov Processes for Stochastic Modeling by Oliver Ibe Pdf

Markov processes are processes that have limited memory. In particular, their dependence on the past is only through the previous state. They are used to model the behavior of many systems including communications systems, transportation networks, image segmentation and analysis, biological systems and DNA sequence analysis, random atomic motion and diffusion in physics, social mobility, population studies, epidemiology, animal and insect migration, queueing systems, resource management, dams, financial engineering, actuarial science, and decision systems. Covering a wide range of areas of application of Markov processes, this second edition is revised to highlight the most important aspects as well as the most recent trends and applications of Markov processes. The author spent over 16 years in the industry before returning to academia, and he has applied many of the principles covered in this book in multiple research projects. Therefore, this is an applications-oriented book that also includes enough theory to provide a solid ground in the subject for the reader. Presents both the theory and applications of the different aspects of Markov processes Includes numerous solved examples as well as detailed diagrams that make it easier to understand the principle being presented Discusses different applications of hidden Markov models, such as DNA sequence analysis and speech analysis.

Author : Jordan Hristov
Publisher : MDPI
Page : 139 pages
File Size : 48,8 Mb
Release : 2018-06-22
Category : Electronic books
ISBN : 9783038429838

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The Craft of Fractional Modelling in Science and Engineering by Jordan Hristov Pdf

This book is a printed edition of the Special Issue "The Craft of Fractional Modelling in Science and Engineering" that was published in Fractal Fract

Author : Fima C. Klebaner
Publisher : Imperial College Press
Page : 431 pages
File Size : 47,5 Mb
Release : 2005
Category : Mathematics
ISBN : 9781860945557

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Introduction to Stochastic Calculus with Applications by Fima C. Klebaner Pdf

This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling.This second edition contains a new chapter on bonds, interest rates and their options. New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka-Volterra model in biology, non-linear filtering in engineering and five new figures.Instructors can obtain slides of the text from the author.

Author : Francesco Mainardi
Publisher : World Scientific
Page : 626 pages
File Size : 42,9 Mb
Release : 2022-08-16
Category : Mathematics
ISBN : 9781783264001

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Fractional Calculus And Waves In Linear Viscoelasticity: An Introduction To Mathematical Models (Second Edition) by Francesco Mainardi Pdf

Fractional Calculus and Waves in Linear Viscoelasticity (Second Edition) is a self-contained treatment of the mathematical theory of linear (uni-axial) viscoelasticity (constitutive equation and waves) with particular regard to models based on fractional calculus. It serves as a general introduction to the above-mentioned areas of mathematical modeling. The explanations in the book are detailed enough to capture the interest of the curious reader, and complete enough to provide the necessary background material needed to delve further into the subject and explore the research literature. In particular the relevant role played by some special functions is pointed out along with their visualization through plots. Graphics are extensively used in the book and a large general bibliography is included at the end.This new edition keeps the structure of the first edition but each chapter has been revised and expanded, and new additions include a novel appendix on complete monotonic and Bernstein functions that are known to play a fundamental role in linear viscoelasticity.This book is suitable for engineers, graduate students and researchers interested in fractional calculus and continuum mechanics.

Author : Edmundo Capelas de Oliveira
Publisher : Springer
Page : 321 pages
File Size : 54,8 Mb
Release : 2019-05-31
Category : Technology & Engineering
ISBN : 9783030205249

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Solved Exercises in Fractional Calculus by Edmundo Capelas de Oliveira Pdf

This book contains a brief historical introduction and state of the art in fractional calculus. The author introduces some of the so-called special functions, in particular, those which will be directly involved in calculations. The concepts of fractional integral and fractional derivative are also presented. Each chapter, except for the first one, contains a list of exercises containing suggestions for solving them and at last the resolution itself. At the end of those chapters there is a list of complementary exercises. The last chapter presents several applications of fractional calculus.

Author : Richard Herrmann
Publisher : World Scientific
Page : 500 pages
File Size : 46,8 Mb
Release : 2014-01-03
Category : Science
ISBN : 9789814551090

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Fractional Calculus by Richard Herrmann Pdf

The book presents a concise introduction to the basic methods and strategies in fractional calculus and enables the reader to catch up with the state of the art in this field as well as to participate and contribute in the development of this exciting research area. The contents are devoted to the application of fractional calculus to physical problems. The fractional concept is applied to subjects in classical mechanics, group theory, quantum mechanics, nuclear physics, hadron spectroscopy and quantum field theory and it will surprise the reader with new intriguing insights. This new, extended edition now also covers additional chapters about image processing, folded potentials in cluster physics, infrared spectroscopy and local aspects of fractional calculus. A new feature is exercises with elaborated solutions, which significantly supports a deeper understanding of general aspects of the theory. As a result, this book should also be useful as a supporting medium for teachers and courses devoted to this subject. Contents:IntroductionFunctionsThe Fractional DerivativeFriction ForcesFractional CalculusThe Fractional Harmonic OscillatorWave Equations and ParityNonlocality and Memory EffectsFractional Calculus in Multidimensional Space — 2D-Image ProcessingFractional Calculus in Multidimensional Space — 3D-Folded Potentials in Cluster PhysicsQuantum MechanicsThe Fractional Schrödinger Equation with the Infinite Well Potential — Numerical Results using the Riesz DerivativeUniqueness of a Fractional Derivative — the Riesz and Regularized Liouville Derivative as ExamplesFractional Spin — A Property of Particles Described with the Fractional Schrödinger EquationFactorizationSymmetriesThe Fractional Symmetric Rigid Rotorq-Deformed Lie Algebras and Fractional CalculusInfrared Spectroscopy of Diatomic Molecules Fractional Spectroscopy of HadronsMagic Numbers in Atomic NucleiMagic Numbers in Metal ClustersFractors — Fractional Tensor CalculusFractional FieldsGauge Invariance in Fractional Field TheoriesOn the Origin of SpaceOutlook Readership: Students and researchers in physics. Keywords:Mathematical Physics;Fractional Calculus;Long-Memory Kernels;Non-Local Field Theories;Fractional Quantum MechanicsKey Features:This was the first book on the market covering the full area of a physical application of fractional calculusThe book provides a skillful insight into a vividly growing research area and guides the reader from his first steps on an introductory level up to the current state of the art of a physical interpretation and application in different fieldsThis book enables the reader to participate and contribute to the development of this exciting research area by applying these methods in his own research area tooReviews:Reviews of the First Edition: “Fractional Calculus is an affordable and valuable introduction to the field that will appeal to physicists interested in scientific what-ifs.” Physics Today “… the first three chapters actually appear very helpful at the graduate level. Each chapter has a careful precis at the start. There a many analyses illustrating outcomes of fractional analyses… If this [fractional calculus] is the field of your research then this book is essential with numerous references… ” Contemporary Physics “The book has the property that derived results are directly compared with experimental findings. As a consequence, the reader is guided and encouraged to apply the fractional calculus approach in her/his research area. The reviewer strongly recommends this book for beginners as well as specialists in the fields of physics, mathematics and complex adaptive systems.” Zentralblatt MATH “A very welcome new feature in the second edition is the inclusion of exercises at the end of every chapter, with detailed solutions in the back of the book. This book is specifically aimed at physicists, although many of my colleagues outside physics have also found it useful. This is particularly true of graduate students and beginning researchers, or those new to the subject of fractional calculus.” Mark Meerschaert Dept of Statistics and Probability, Michigan State University