On discrete time hedging errors in a fractional Black-Scholes model

In this paper we investigate asymptotic behavior of error of a discrete time hedging strategy in a fractional Black-Scholes model in the sense of Wick-ItS-Skorohod integration. The rate of convergence of the hedging error due to discrete-time trading when the true strategy is known for the trader, is investigated. The result provides new statistical tools to study and detect the effect of the long-memory and the Hurst parameter for the error of discrete time hedging.

Model reduction of fractional impedance spectra for time–frequency analysis of batteries, fuel cells, and supercapacitors

Joint time–frequency analysis is an emerging method for interpreting the underlying physics in fuel cells,batteries,and supercapacitors.To increase the reliability of time–frequency analysis,a theoretical correlation between frequency-domain stationary analysis and time-domain transient analysis is urgently required.The present work formularizes a thorough model reduction of fractional impedance spectra for electrochemical energy devices involving not only the model reduction from fractional-order models to integer-order models and from high-to low-order RC circuits but also insight into the evolution of the characteristic time constants during the whole reduction process.The following work has been carried out:(i)the model-reduction theory is addressed for typical Warburg elements and RC circuits based on the continued fraction expansion theory and the response error minimization technique,respectively;(ii)the order effect on the model reduction of typical Warburg elements is quantitatively evaluated by time–frequency analysis;(iii)the results of time–frequency analysis are confirmed to be useful to determine the reduction order in terms of the kinetic information needed to be captured;and(iv)the results of time–frequency analysis are validated for the model reduction of fractional impedance spectra for lithium-ion batteries,supercapacitors,and solid oxide fuel cells.In turn,the numerical validation has demonstrated the powerful function of the joint time–frequency analysis.The thorough model reduction of fractional impedance spectra addressed in the present work not only clarifies the relationship between time-domain transient analysis and frequency-domain stationary analysis but also enhances the reliability of the joint time–frequency analysis for electrochemical energy devices.

Intermittent disturbance mechanical behavior and fractional deterioration mechanical model of rock under complex true triaxial stress paths

Mechanical excavation,blasting,adjacent rockburst and fracture slip that occur during mining excavation impose dynamic loads on the rock mass,leading to further fracture of damaged surrounding rock in three-dimensional high-stress and even causing disasters.Therefore,a novel complex true triaxial static-dynamic combined loading method reflecting underground excavation damage and then frequent intermittent disturbance failure is proposed.True triaxial static compression and intermittent disturbance tests are carried out on monzogabbro.The effects of intermediate principal stress and amplitude on the strength characteristics,deformation characteristics,failure characteristics,and precursors of monzogabbro are analyzed,intermediate principal stress and amplitude increase monzogabbro strength and tensile fracture mechanism.Rapid increases in microseismic parameters during rock loading can be precursors for intermittent rock disturbance.Based on the experimental result,the new damage fractional elements and method with considering crack initiation stress and crack unstable stress as initiation and acceleration condition of intermittent disturbance irreversible deformation are proposed.A novel three-dimensional disturbance fractional deterioration model considering the intermediate principal stress effect and intermittent disturbance damage effect is established,and the model predicted results align well with the experimental results.The sensitivity of stress states and model parameters is further explored,and the intermittent disturbance behaviors at different f are predicted.This study provides valuable theoretical bases for the stability analysis of deep mining engineering under dynamic loads.

A Collocation Technique via Pell-Lucas Polynomials to Solve Fractional Differential EquationModel for HIV/AIDS with Treatment Compartment

In this study,a numerical method based on the Pell-Lucas polynomials(PLPs)is developed to solve the fractional order HIV/AIDS epidemic model with a treatment compartment.The HIV/AIDS mathematical model with a treatment compartment is divided into five classes,namely,susceptible patients(S),HIV-positive individuals(I),individuals with full-blown AIDS but not receiving ARV treatment(A),individuals being treated(T),and individuals who have changed their sexual habits sufficiently(R).According to the method,by utilizing the PLPs and the collocation points,we convert the fractional order HIV/AIDS epidemic model with a treatment compartment into a nonlinear system of the algebraic equations.Also,the error analysis is presented for the Pell-Lucas approximation method.The aim of this study is to observe the behavior of five populations after 200 days when drug treatment is applied to HIV-infectious and full-blown AIDS people.To demonstrate the usefulness of this method,the applications are made on the numerical example with the help of MATLAB.In addition,four cases of the fractional order derivative(p=1,p=0.95,p=0.9,p=0.85)are examined in the range[0,200].Owing to applications,we figured out that the outcomes have quite decent errors.Also,we understand that the errors decrease when the value of N increases.The figures in this study are created in MATLAB.The outcomes indicate that the presented method is reasonably sufficient and correct.

Global Well-Posedness of the Fractional Tropical Climate Model

In this paper, we consider the Cauchy problem of 3-dimensional tropical climate model. This model reflects the interaction and coupling among the barotropic mode u, the first baroclinic mode v of the velocity and the temperature θ. The systems with fractional dissipation studied here may arise in the modeling of geophysical circumstances. Mathematically these systems allow simultaneous examination of a family of systems with various levels of regularization. The aim here is the global strong solution with the least dissipation. By energy estimate and delicate analysis, we prove the existence of global solution under three different cases: first, with the help of damping terms, the global strong solution of the system with Λ2au, Λ2βv and Λ2γ θ for;and second, the global strong solution of the system for with damping terms;finally, the global strong solution of the system for without any damping terms, which improve the known existence theory for this system.

Application of Elzaki Transform Method to Market Volatility Using the Black-Scholes Model

Black-Scholes Model (B-SM) simulates the dynamics of financial market and contains instruments such as options and puts which are major indices requiring solution. B-SM is known to estimate the correct prices of European Stock options and establish the theoretical foundation for Option pricing. Therefore, this paper evaluates the Black-Schole model in simulating the European call in a cash flow in the dependent drift and focuses on obtaining analytic and then approximate solution for the model. The work also examines Fokker Planck Equation (FPE) and extracts the link between FPE and B-SM for non equilibrium systems. The B-SM is then solved via the Elzaki transform method (ETM). The computational procedures were obtained using MAPLE 18 with the solution provided in the form of convergent series.

A FAST AND HIGH ACCURACY NUMERICAL SIMULATION FOR A FRACTIONAL BLACK-SCHOLES MODEL ON TWO ASSETS

In this paper,a two dimensional(2D)fractional Black-Scholes(FBS)model on two assets following independent geometric Lévy processes is solved numerically.A high order convergent implicit difference scheme is constructed and detailed numerical analysis is established.The fractional derivative is a quasidifferential operator,whose nonlocal nature yields a dense lower Hessenberg block coefficient matrix.In order to speed up calculation and save storage space,a fast bi-conjugate gradient stabilized(FBi-CGSTAB)method is proposed to solve the resultant linear system.Finally,one example with a known exact solution is provided to assess the effectiveness and efficiency of the presented fast numerical technique.The pricing of a European Call-on-Min option is showed in the other example,in which the influence of fractional derivative order and volatility on the 2D FBS model is revealed by comparing with the classical 2D B-S model.

A Theoretical Investigation of the SARS-CoV-2Model via Fractional Order Epidemiological Model

We propose a theoretical study investigating the spread of the novel coronavirus(COVID-19)reported inWuhan City of China in 2019.We develop a mathematical model based on the novel corona virus’s characteristics and then use fractional calculus to fractionalize it.Various fractional order epidemicmodels have been formulated and analyzed using a number of iterative and numerical approacheswhile the complications arise due to singular kernel.We use the well-known Caputo-Fabrizio operator for the purposes of fictionalization because this operator is based on the non-singular kernel.Moreover,to analyze the existence and uniqueness,we will use the well-known fixed point theory.We also prove that the considered model has positive and bounded solutions.We also draw some numerical simulations to verify the theoretical work via graphical representations.We believe that the proposed epidemic model will be helpful for health officials to take some positive steps to control contagious diseases.

PEMFC Identification Based on a Fractional-Order Hammerstein State-Space Model with ADE-BH Optimization

Considering the fractional-order and nonlinear characteristics of proton exchange membrane fuel cells(PEMFC),a fractional-order subspace identification method based on the ADE-BH optimization algorithm is proposed to establish a fractional-order Hammerstein state-space model of PEMFCs.Herein,a Hammerstein model is constructed by connecting a linear module and a nonlinear module in series to precisely depict the nonlinear property of the PEMFC.During the modeling process,fractional-order theory is combined with subspace identification,and a Poisson filter is adopted to enable multi-order derivability of the data.A variable memory method is introduced to reduce computation time without losing precision.Additionally,to improve the optimization accuracy and avoid obtaining locally optimum solutions,a novel ADEBH algorithm is employed to optimize the unknown parameters in the identification method.In this algorithm,the Euclidean distance serves as the theoretical basis for updating the target vector in the absorption-generation operation of the black hole(BH)algorithm.Finally,simulations demonstrate that the proposed model has small output error and high accuracy,indicating that the model can accurately describe the electrical characteristics of the PEMFC process.

A Neural Study of the Fractional Heroin Epidemic Model

This works intends to provide numerical solutions based on the nonlinear fractional order derivatives of the classical White and Comiskey model(NFD-WCM).The fractional order derivatives have provided authentic and accurate solutions for the NDF-WCM.The solutions of the fractional NFD-WCM are provided using the stochastic computing supervised algorithm named Levenberg-Marquard Backpropagation(LMB)based on neural networks(NNs).This regression approach combines gradient descent and Gauss-Newton iterative methods,which means finding a solution through the sequences of different calculations.WCM is used to demonstrate the heroin epidemics.Heroin has been on-growth world wide,mainly in Asia,Europe,and the USA.It is the fourth foremost cause of death due to taking an overdose in the USA.The nonlinear mathematical system NFD-WCM discusses the overall circumstance of different drug users,such as suspected groups,drug users without treatment,and drug users with treatment.The numerical results of NFD-WCM via LMB-NNs have been substantiated through training,testing,and validation measures.The stability and accuracy are then checked through the statistical tool,such asmean square error(MSE),error histogram,and fitness curves.The suggested methodology’s strength is demonstrated by the high convergence between the reference solutions and the solutions generated by adding the efficacy of a constructed solver LMB-NNs,with accuracy levels ranging from 10?9 to 10?10.

Fractional derivative statistical damage model of unsaturated expansive soil based on unified hydraulic effect

Unsaturated expansive soil is widely distributed in China and has complex engineering properties.This paper proposes the unified hydraulic effect shear strength theory of unsaturated expansive soil based on the effective stress principle,swelling force principle,and soil–water characteristics.Considering the viscoelasticity and structural damage of unsaturated expansive soil during loading,a fractional hardening–damage model of unsaturated expansive soil was established.The model parameters were established on the basis of the proposed calculation method of shear strength and the triaxial shear experiment on unsaturated expansive soil.The proposed model was verified by the experimental data and a traditional damage model.The proposed model can satisfactorily describe the entire process of the strain-hardening law of unsaturated expansive soil.Finally,by investigating the damage variables of the proposed model,it was found that:(a)when the values of confining pressure and matric suction are close,the coupling of confining pressure and matric suction contributes more to the shear strength;(b)there is a damage threshold for unsaturated expansive soil,and is mainly reflected by strength criterion of infinitesimal body;(c)the strain hardening law of unsaturated expansive soil is mainly reflected by fractional derivative operator.

An Intelligence Computational Approach for the Fractional 4D Chaotic Financial Model

The main purpose of the study is to present a numerical approach to investigate the numerical performances of the fractional 4-D chaotic financial system using a stochastic procedure.The stochastic procedures mainly depend on the combination of the artificial neural network(ANNs)along with the Levenberg-Marquardt Backpropagation(LMB)i.e.,ANNs-LMB technique.The fractional-order term is defined in the Caputo sense and three cases are solved using the proposed technique for different values of the fractional orderα.The values of the fractional order derivatives to solve the fractional 4-D chaotic financial system are used between 0 and 1.The data proportion is applied as 73%,15%,and 12%for training,testing,and certification to solve the chaotic fractional system.The acquired results are verified through the comparison of the reference solution,which indicates the proposed technique is efficient and robust.The 4-D chaotic model is numerically solved by using the ANNs-LMB technique to reduce the mean square error(MSE).To authenticate the exactness,and consistency of the technique,the obtained performances are plotted in the figures of correlation measures,error histograms,and regressions.From these figures,it can be witnessed that the provided technique is effective for solving such models to give some new insight into the physical behavior of the model.

Fractional Order Environmental and Economic Model Investigations Using Artificial Neural Network

The motive of these investigations is to provide the importance and significance of the fractional order(FO)derivatives in the nonlinear environmental and economic(NEE)model,i.e.,FO-NEE model.The dynamics of the NEE model achieves more precise by using the form of the FO derivative.The investigations through the non-integer and nonlinear mathematical form to define the FO-NEE model are also provided in this study.The composition of the FO-NEEmodel is classified into three classes,execution cost of control,system competence of industrial elements and a new diagnostics technical exclusion cost.The mathematical FO-NEE system is numerically studied by using the artificial neural networks(ANNs)along with the Levenberg-Marquardt backpropagation method(ANNs-LMBM).Three different cases using the FO derivative have been examined to present the numerical performances of the FO-NEE model.The data is selected to solve the mathematical FO-NEE system is executed as 70%for training and 15%for both testing and certification.The exactness of the proposed ANNs-LMBM is observed through the comparison of the obtained and the Adams-Bashforth-Moulton database results.To ratify the aptitude,validity,constancy,exactness,and competence of the ANNs-LMBM,the numerical replications using the state transitions,regression,correlation,error histograms and mean square error are also described.

Stochastic Computational Heuristic for the Fractional Biological Model Based on Leptospirosis

The purpose of these investigations is to find the numerical outcomes of the fractional kind of biological system based on Leptospirosis by exploiting the strength of artificial neural networks aided by scale conjugate gradient,called ANNs-SCG.The fractional derivatives have been applied to get more reliable performances of the system.The mathematical form of the biological Leptospirosis system is divided into five categories,and the numerical performances of each model class will be provided by using the ANNs-SCG.The exactness of the ANNs-SCG is performed using the comparison of the reference and obtained results.The reference solutions have been obtained by using theAdams numerical scheme.For these investigations,the data selection is performed at 82%for training,while the statics for both testing and authentication is selected as 9%.The procedures based on the recurrence,mean square error,error histograms,regression,state transitions,and correlation will be accomplished to validate the fitness,accuracy,and reliability of the ANNs-SCG scheme.

Stochastic Investigations for the Fractional Vector-Host Diseased Based Saturated Function of Treatment Model

The goal of this research is to introduce the simulation studies of the vector-host disease nonlinear system(VHDNS)along with the numerical treatment of artificial neural networks(ANNs)techniques supported by Levenberg-Marquardt backpropagation(LMQBP),known as ANNs-LMQBP.This mechanism is physically appropriate,where the number of infected people is increasing along with the limited health services.Furthermore,the biological effects have fadingmemories and exhibit transition behavior.Initially,the model is developed by considering the two and three categories for the humans and the vector species.The VHDNS is constructed with five classes,susceptible humans Sh(t),infected humans Ih(t),recovered humans Rh(t),infected vectors Iv(t),and susceptible vector Sv(t)based system of the fractional-order nonlinear ordinary differential equations.To solve the number of variations of the VHDNS,the numerical simulations are performed using the stochastic ANNs-LMQBP.The achieved numerical solutions for solving the VHDNS using the stochastic ANNs-LMQBP have been described for training,verifying,and testing data to decrease the mean square error(MSE).An extensive analysis is provided using the correlation studies,MSE,error histograms(EHs),state transitions(STs),and regression to observe the accuracy,efficiency,expertise,and aptitude of the computing ANNs-LMQBP.

On Nonlinear Conformable Fractional Order Dynamical System via Differential Transform Method

This article studies a nonlinear fractional order Lotka-Volterra prey-predator type dynamical system.For the proposed study,we consider the model under the conformable fractional order derivative(CFOD).We investigate the mentioned dynamical system for the existence and uniqueness of at least one solution.Indeed,Schauder and Banach fixed point theorems are utilized to prove our claim.Further,an algorithm for the approximate analytical solution to the proposed problem has been established.In this regard,the conformable fractional differential transform(CFDT)technique is used to compute the required results in the form of a series.Using Matlab-16,we simulate the series solution to illustrate our results graphically.Finally,a comparison of our solution to that obtained for the Caputo fractional order derivative via the perturbation method is given.

PLANE SURFACE SUDDENLY SET IN MOTION IN A VISCOELASTIC FLUID WITH FRACTIONAL MAXWELL MODEL

The fractional calculus approach in the constitutive relationship model of viscoelastic fluid is introduced.The flow near a wall suddenly set in mo- tion is studied for a non-Newtonian viscoelastic fluid with the fractional Maxwell model.Exact solutions of velocity and stress are obtained by using the discrete in- verse Laplace transform of the sequential fractional derivatives.It is found that the effect of the fractional orders in the constitutive relationship on the flow field is signif- icant.The results show that for small times there are appreciable viscoelastic effects on the shear stress at the plate,for large times the viscoelastic effects become weak.

Transfer function modeling and analysis of the open-loop Buck converter using the fractional calculus

Based on the fact that the real inductor and the real capacitor are fractional order in nature and the fractional calculus,the transfer function modeling and analysis of the open-loop Buck converter in a continuous conduction mode（CCM） operation are carried out in this paper.The fractional order small signal model and the corresponding equivalent circuit of the open-loop Buck converter in a CCM operation are presented.The transfer functions from the input voltage to the output voltage,from the input voltage to the inductor current,from the duty cycle to the output voltage,from the duty cycle to the inductor current,and the output impedance of the open-loop Buck converter in CCM operation are derived,and their bode diagrams and step responses are calculated,respectively.It is found that all the derived fractional order transfer functions of the system are influenced by the fractional orders of the inductor and the capacitor.Finally,the realization of the fractional order inductor and the fractional order capacitor is designed,and the corresponding PSIM circuit simulation results of the open-loop Buck converter in CCM operation are given to confirm the correctness of the derivations and the theoretical analysis.

Modelling long-term deformation of granular soils incorporating the concept of fractional calculus

Many constitutive models exist to characterise the cyclic behaviour of granular soils but can only simulate deformations for very limited cycles. Fractional derivatives have been regarded as one potential instrument for modelling memory-dependent phenomena. In this paper, the physical connection between the fractional derivative order and the fractal dimension of granular soils is investigated in detail. Then a modified elasto-plastic constitutive model is proposed for evaluating the long-term deformation of granular soils under cyclic loading by incorporating the concept of fac- tional calculus. To describe the flow direction of granular soils under cyclic loading, a cyclic flow potential consider- ing particle breakage is used. Test results of several types of granular soils are used to validate the model performance.

Unsteady rotating flows of a viscoelastic fluid with the fractional Maxwell model between coaxial cylinders

The fractional calculus is used in the constitutive relationship model of viscoelastic fluid. A generalized Maxwell model with fractional calculus is considered. Based on the flow conditions described, two flow cases are solved and the exact solutions are obtained by using the Weber transform and the Laplace transform for fractional calculus.