Almost sure and moment stability properties of fractional order Black-Scholes model

2013 ◽  
Vol 16 (2) ◽  
Author(s):  
Caibin Zeng ◽  
YangQuan Chen ◽  
Qigui Yang
Keyword(s):  
Lyapunov Exponent ◽  
Asymptotic Stability ◽  
Large Deviations ◽  
Fractional Order ◽  
Sufficient Conditions ◽  
Largest Lyapunov Exponent ◽  
Model Driven ◽  
Black Scholes Model ◽  
Black Scholes ◽  
The Stability

AbstractWe deal with the stability problem of the fractional order Black-Scholes model driven by fractional Brownian motion (fBm). First, necessary and sufficient conditions are established for almost sure asymptotic stability and pth moment asymptotic stability by means of the largest Lyapunov exponent and the pth moment Lyapunov exponent, respectively. Moreover, we are able to present large deviations results for this fractional process. In particular, for the first time it is found that the Hurst parameter affects both stability conclusions and large deviations. Interestingly, large deviations always happen for the considered system when 1/2 < H < 1. This fact is due to the long-range dependence (LRD) property of the fBm. Numerical simulation results are presented to illustrate the above findings.

scholarly journals Stability conditions for linear continuous-time fractional-order state-delayed systems

2016 ◽  
Vol 64 (1) ◽  
pp. 3-7
Author(s):  
M. Busłowicz
Keyword(s):  
Asymptotic Stability ◽  
Fractional Order ◽  
Continuous Time ◽  
Sufficient Conditions ◽  
The State ◽  
Necessary And Sufficient Conditions ◽  
Order System ◽  
State Matrix ◽  
The Stability ◽  
Necessary And Sufficient

Abstract The stability problem of continuous-time linear fractional order systems with state delay is considered. New simple necessary and sufficient conditions for the asymptotic stability are established. The conditions are given in terms of eigenvalues of the state matrix and time delay. It is shown that in the complex plane there exists such a region that location in this region of all eigenvalues of the state matrix multiplied by delay in power equal to the fractional order is necessary and sufficient for the asymptotic stability. Parametric description of boundary of this region is derived and simple new analytic necessary and sufficient conditions for the stability are given. Moreover, it is shown that the stability of the fractional order system without delay is necessary for the stability of this system with delay. The considerations are illustrated by a numerical example.

scholarly journals Stability Analysis for Fractional-Order Linear Singular Delay Differential Systems

2014 ◽  
Vol 2014 ◽  
pp. 1-8 ◽  
Author(s):  
Hai Zhang ◽  
Daiyong Wu ◽  
Jinde Cao ◽  
Hui Zhang
Keyword(s):  
Asymptotic Stability ◽  
Fractional Order ◽  
Sufficient Conditions ◽  
Algebraic Approach ◽  
Differential Systems ◽  
Order Linear ◽  
Delay Differential Systems ◽  
The Stability ◽  
Delay Differential ◽  
Theoretical Results

We investigate the delay-independently asymptotic stability of fractional-order linear singular delay differential systems. Based on the algebraic approach, the sufficient conditions are presented to ensure the asymptotic stability for any delay parameter. By applying the stability criteria, one can avoid solving the roots of transcendental equations. An example is also provided to illustrate the effectiveness and applicability of the theoretical results.

scholarly journals Asymptotic Stability of Caputo Type Fractional Neutral Dynamical Systems with Multiple Discrete Delays

2014 ◽  
Vol 2014 ◽  
pp. 1-10 ◽  
Author(s):  
Hai Zhang ◽  
Daiyong Wu ◽  
Jinde Cao
Keyword(s):  
Asymptotic Stability ◽  
Matrix Theory ◽  
Sufficient Conditions ◽  
Algebraic Approach ◽  
Stability Criteria ◽  
Differential Systems ◽  
Discrete Delays ◽  
Transcendental Equations ◽  
The Stability ◽  
Theoretical Results

We discuss the delay-independent asymptotic stability of Caputo type fractional-order neutral differential systems with multiple discrete delays. Based on the algebraic approach and matrix theory, the sufficient conditions are derived to ensure the asymptotic stability for all time-delay parameters. By applying the stability criteria, one can avoid solving the roots of transcendental equations. The results obtained are computationally flexible and convenient. Moreover, an example is provided to illustrate the effectiveness and applicability of the proposed theoretical results.

Stabilizing Feedback Controls for Nonlinear Hamiltonian Systems and Nonconservative Bilinear Systems in Elasticity

1982 ◽  
Vol 104 (1) ◽  
pp. 27-32 ◽  
Author(s):  
S. N. Singh
Keyword(s):  
Asymptotic Stability ◽  
Hamiltonian Systems ◽  
Attitude Control ◽  
Sufficient Conditions ◽  
Bilinear Systems ◽  
Feedback Controls ◽  
Control Laws ◽  
Nonlinear Maps ◽  
The Stability ◽  
Necessary And Sufficient

Using the invariance principle of LaSalle [1], sufficient conditions for the existence of linear and nonlinear control laws for local and global asymptotic stability of nonlinear Hamiltonian systems are derived. An instability theorem is also presented which identifies the control laws from the given class which cannot achieve asymptotic stability. Some of the stability results are based on certain results for the univalence of nonlinear maps. A similar approach for the stabilization of bilinear systems which include nonconservative systems in elasticity is used and a necessary and sufficient condition for stabilization is obtained. An application to attitude control of a gyrostat Satellite is presented.

Stochastic Stability of a Universal-Joint Driven Torsional System

1999 ◽  
Author(s):  
S. F. Asokanthan ◽  
Xiao-Hui Wang
Keyword(s):  
Lyapunov Exponent ◽  
Excitation Frequency ◽  
Excitation Amplitude ◽  
Angular Speed ◽  
Analytical Models ◽  
Largest Lyapunov Exponent ◽  
Deterministic Case ◽  
Speed Fluctuation ◽  
The Difference ◽  
The Stability

Abstract Torsional instabilities in a two-degree-of-freedom system driven by a Hooke’s joint due to random input angular speed fluctuation are investigated. Linearised analytical models are used for calculating the largest Lyapunov exponent. Instability behaviour is then characterised by examining the sign of this exponent. Conditions for the onset of instability via sub-harmonic parametric resonances has been shown to coincide with those for the deterministic case. However, the onset of instability via sum as well as the difference type combination resonance is found to be different from that of the deterministic case. The instability conditions for the system under input angular speed fluctuation have been presented graphically in the excitation frequency-excitation amplitude-top Lyapunov exponent space. Predictions for the deterministic and the stochastic cases are compared. The effect of fluctuation probability density as well as that of inertia loads on the stability behaviour of the system has been examined.

Dynamical Behaviors of a Fractional-Order Predator–Prey Model with Holling Type IV Functional Response and Its Discretization

2019 ◽  
Vol 20 (2) ◽  
pp. 125-136
Author(s):  
A. M. Yousef ◽  
S. Z. Rida ◽  
Y. Gh. Gouda ◽  
A. S. Zaki
Keyword(s):  
Functional Response ◽  
Fractional Order ◽  
Sufficient Conditions ◽  
Predator Prey ◽  
Predator Prey Model ◽  
Type Iv ◽  
Dynamical Behaviors ◽  
The Stability ◽  
Necessary And Sufficient ◽  
Theoretical Results

AbstractIn this paper, we investigate the dynamical behaviors of a fractional-order predator–prey with Holling type IV functional response and its discretized counterpart. First, we seek the local stability of equilibria for the fractional-order model. Also, the necessary and sufficient conditions of the stability of the discretized model are achieved. Bifurcation types (include transcritical, flip and Neimark–Sacker) and chaos are discussed in the discretized system. Finally, numerical simulations are executed to assure the validity of the obtained theoretical results.

scholarly journals Dynamic Analysis of a Fractional-Order Model for Hepatitis B Virus with Holling II Functional Response

Complexity ◽  
2019 ◽  
Vol 2019 ◽  
pp. 1-13 ◽  
Author(s):  
Ruiqing Shi ◽  
Ting Lu ◽  
Cuihong Wang
Keyword(s):  
Hepatitis B Virus ◽  
Hepatitis B ◽  
Fractional Order ◽  
Reproduction Number ◽  
Sufficient Conditions ◽  
Order Model ◽  
Fractional Order Model ◽  
B Virus ◽  
The Stability ◽  
Holling Ii Functional Response

In this paper, a fractional-order model is constructed to describe the transmission of Hepatitis B Virus (HBV). Firstly, the existence and uniqueness of positive solutions are proved. Secondly, the basic reproduction number and the sufficient conditions for the existence of two equilibriums are obtained. Thirdly, the stability of equilibriums are analyzed. After that, some numerical simulations are performed to verify the theoretical prediction. Finally, a brief discussion is presented.

Stability and controllability of switched systems

2013 ◽  
Vol 61 (3) ◽  
pp. 547-555 ◽  
Author(s):  
J. Klamka ◽  
A. Czornik ◽  
M. Niezabitowski
Keyword(s):  
Stability Analysis ◽  
Asymptotic Stability ◽  
Linear Systems ◽  
Switched Systems ◽  
Sufficient Conditions ◽  
Switched Linear Systems ◽  
Arbitrary Switching ◽  
Mathematical Problems ◽  
The Stability ◽  
Necessary And Sufficient

Abstract The study of properties of switched and hybrid systems gives rise to a number of interesting and challenging mathematical problems. This paper aims to briefly survey recent results on stability and controllability of switched linear systems. First, the stability analysis for switched systems is reviewed. We focus on the stability analysis for switched linear systems under arbitrary switching, and we highlight necessary and sufficient conditions for asymptotic stability. After that, we review the controllability results.

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