scholarly journals On the Quantitative Properties of Some Market Models Involving Fractional Derivatives

Mathematics ◽  
2021 ◽  
Vol 9 (24) ◽  
pp. 3198
Author(s):  
Jean-Philippe Aguilar ◽  
Jan Korbel ◽  
Nicolas Pesci
Keyword(s):  
Stock Returns ◽  
Fractional Derivatives ◽  
Implied Volatility ◽  
Space Variable ◽  
Differential Operators ◽  
Contingent Claims ◽  
Pseudo Differential Operators ◽  
Fractional Models ◽  
Temporal Derivative ◽  
Quantitative Properties

We review and discuss the properties of various models that are used to describe the behavior of stock returns and are related in a way or another to fractional pseudo-differential operators in the space variable; we compare their main features and discuss what behaviors they are able to capture. Then, we extend the discussion by showing how the pricing of contingent claims can be integrated into the framework of a model featuring a fractional derivative in both time and space, recall some recently obtained formulas in this context, and derive new ones for some commonly traded instruments and a model involving a Riesz temporal derivative and a particular case of Riesz–Feller space derivative. Finally, we provide formulas for implied volatility and first- and second-order market sensitivities in this model, discuss hedging and profit and loss policies, and compare with other fractional (Caputo) or non-fractional models.

scholarly journals Kinetic Model for Drying in Frame of Generalized Fractional Derivatives

2020 ◽  
Vol 4 (2) ◽  
pp. 17
Author(s):  
Ramazan Ozarslan ◽  
Erdal Bas
Keyword(s):  
Kinetic Model ◽  
Physical Meaning ◽  
Fractional Derivatives ◽  
Differential Operators ◽  
Drying Process ◽  
Caputo Fractional Derivatives ◽  
Fractional Models ◽  
Generalized Fractional Derivatives ◽  
Fractional Differential ◽  
Fractional Differential Operators

In this article, the Lewis model was considered for the soybean drying process by new fractional differential operators to analyze the estimated time in 50 ∘ C , 60 ∘ C , 70 ∘ C , and 80 ∘ C . Moreover, we used dimension parameters for the physical meaning of these fractional models within generalized and Caputo fractional derivatives. Results obtained with generalized fractional derivatives were analyzed comparatively with the Caputo fractional, integer order derivatives and Page model for the soybean drying process. All results for fractional derivatives are discussed and compared in detail.

scholarly journals A Radial Basis Function Finite Difference Scheme for the Benjamin–Ono Equation

Mathematics ◽  
2020 ◽  
Vol 9 (1) ◽  
pp. 65
Author(s):  
Benjamin Akers ◽  
Tony Liu ◽  
Jonah Reeger
Keyword(s):  
Radial Basis Function ◽  
Hilbert Transform ◽  
Basis Function ◽  
Differential Operators ◽  
Convergence Rates ◽  
Traveling Wave Solutions ◽  
Algebraic Decay ◽  
Pseudo Differential Operators ◽  
Radial Basis ◽  
The Hilbert Transform

A radial basis function-finite differencing (RBF-FD) scheme was applied to the initial value problem of the Benjamin–Ono equation. The Benjamin–Ono equation has traveling wave solutions with algebraic decay and a nonlocal pseudo-differential operator, the Hilbert transform. When posed on R, the former makes Fourier collocation a poor discretization choice; the latter is challenging for any local method. We develop an RBF-FD approximation of the Hilbert transform, and discuss the challenges of implementing this and other pseudo-differential operators on unstructured grids. Numerical examples, simulation costs, convergence rates, and generalizations of this method are all discussed.

Boundedness of multi-parameter pseudo-differential operators on multi-parameter local Hardy spaces

2020 ◽  
Vol 32 (4) ◽  
pp. 919-936 ◽  
Author(s):  
Jiao Chen ◽  
Wei Ding ◽  
Guozhen Lu
Keyword(s):  
Hardy Spaces ◽  
Differential Operators ◽  
Integral Operators ◽  
Fourier Multipliers ◽  
Regularity Of Solutions ◽  
Local Version ◽  
Fourier Integral Operators ◽  
Pseudo Differential Operators ◽  
Local Hardy Spaces ◽  
The One

AbstractAfter the celebrated work of L. Hörmander on the one-parameter pseudo-differential operators, the applications of pseudo-differential operators have played an important role in partial differential equations, geometric analysis, harmonic analysis, theory of several complex variables and other branches of modern analysis. For instance, they are used to construct parametrices and establish the regularity of solutions to PDEs such as the {\overline{\partial}} problem. The study of Fourier multipliers, pseudo-differential operators and Fourier integral operators has stimulated further such applications. It is well known that the one-parameter pseudo-differential operators are {L^{p}({\mathbb{R}^{n}})} bounded for {1<p<\infty}, but only bounded on local Hardy spaces {h^{p}({\mathbb{R}^{n}})} introduced by Goldberg in [D. Goldberg, A local version of real Hardy spaces, Duke Math. J. 46 1979, 1, 27–42] for {0<p\leq 1}. Though much work has been done on the {L^{p}(\mathbb{R}^{n_{1}}\times\mathbb{R}^{n_{2}})} boundedness for {1<p<\infty} and Hardy {H^{p}(\mathbb{R}^{n_{1}}\times\mathbb{R}^{n_{2}})} boundedness for {0<p\leq 1} for multi-parameter Fourier multipliers and singular integral operators, not much has been done yet for the boundedness of multi-parameter pseudo-differential operators in the range of {0<p\leq 1}. The main purpose of this paper is to establish the boundedness of multi-parameter pseudo-differential operators on multi-parameter local Hardy spaces {h^{p}(\mathbb{R}^{n_{1}}\times\mathbb{R}^{n_{2}})} for {0<p\leq 1} recently introduced by Ding, Lu and Zhu in [W. Ding, G. Lu and Y. Zhu, Multi-parameter local Hardy spaces, Nonlinear Anal. 184 2019, 352–380].

scholarly journals On the Weyl transform for rotationally invariant symbols

2019 ◽  
Vol 10 (4) ◽  
pp. 769-791 ◽  
Author(s):  
Norbert Ortner ◽  
Peter Wagner
Keyword(s):  
Asymptotic Behavior ◽  
Differential Operators ◽  
Symmetric Distributions ◽  
Yield Criteria ◽  
Weyl Transform ◽  
Pseudo Differential Operators ◽  
Weyl Transforms ◽  
Rotationally Invariant

Abstract Several formulas for the eigenvalues $$\lambda _j$$ λ j of the Weyl transforms $$W_\sigma $$ W σ of symbols $$\sigma $$ σ given by radially symmetric distributions are derived. These yield criteria for the boundedness and the compactness, respectively, of the pseudo-differential operators $$W_\sigma .$$ W σ . We investigate some examples by analyzing the asymptotic behavior of $$\lambda _j$$ λ j for $$j\rightarrow \infty $$ j → ∞ .

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