Single step estimation of ARMA roots for non-fundamental nonstationary fractional models

We propose a single step estimator for the autoregressive and moving-average roots (without imposing causality or invertibility restrictions) of a nonstationary Fractional ARMA process. These estimators employ an efficient tapering procedure, which allows for a long memory component in the process, but avoid estimating the nonstationarity component, which can be stochastic and/or deterministic. After selecting automatically the order of the model, we robustly estimate the AR and MA roots for trading volume for the thirty stocks in the Dow Jones Industrial Average Index in the last decade. Two empirical results are found. First, there is strong evidence that stock market trading volume exhibits non-fundamentalness. Second, non-causality is more common than non-invertibility.

Separation Method of Semi-Fixed Variables Together with Dynamical System Method for Solving Nonlinear Time-Fractional PDEs with Higher-Order Terms

It is well known that methods for solving fractional-order PDEs are grossly inadequate compared with integer-order PDEs. In this paper, a new approach which combined with the separation method of semi-fixed variables and dynamical system method is introduced. As example, a time-fractional reaction-diffusion equation with higher-order terms is studied under the different kinds of fractional-order differential operators. In different parametric regions, phase portraits of systems which derived from the reaction-diffusion equation are presented. Existence and dynamic properties of solutions of this nonlinear time-fractional models are investigated. In some special parametric conditions, some exact solutions of this time-fractional models are obtained. The dynamical properties of some exact solutions are discussed and the graphs of them are illustrated.PACS: 02.30.Jr; 02.30.Oz; 02.70.-c; 02.70.Mv; 02.90.+p; 04.20.Jb; 05.10.-a

DYNAMICS OF COOPERATIVE REACTIONS BASED ON CHEMICAL KINETICS WITH REACTION SPEED: A COMPARATIVE ANALYSIS WITH SINGULAR AND NONSINGULAR KERNELS

Chemical processes are constantly occurring in all existing creatures, and most of them contain proteins that are enzymes and perform as catalysts. To understand the dynamics of such phenomena, mathematical modeling is a powerful tool of study. This study is carried out for the dynamics of cooperative phenomenon based on chemical kinetics. Observations indicate that fractional models are more practical to describe complex systems’ dynamics, such as recording the memory in partial and full domains of particular operations. Therefore, this model is modeled in terms of classical-order-coupled nonlinear ODEs. Then the classical model is generalized with two different fractional operators of Caputo and Atangana–Baleanu in a Caputo sense. Some fundamental theoretical analysis for both the fractional models is also made. Reaction speeds for the extreme cases of positive/negative and no cooperation are also calculated. The graphical solutions are achieved via numerical schemes, and the simulations for both the models are carried out through the computational software MATLAB. It is observed that both the fractional models of Caputo and Atangana–Baleanu give identical results for integer order, i.e. [Formula: see text]. By decreasing the fractional parameters, the concentration profile of the substrate [Formula: see text] takes more time to vanish. Moreover, binding of first substrate increases the reaction rate at another binding site in the case of extreme positive cooperation, while the opposite effect is noticed for the case of negative cooperativity. Furthermore, the effects of other parameters on concentration profiles of different species are shown graphically and discussed physically.

On the Quantitative Properties of Some Market Models Involving Fractional Derivatives

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.

Power Law Kernel Analysis of MHD Maxwell Fluid with Ramped Boundary Conditions: Transport Phenomena Solutions Based on Special Functions

In this paper, a new approach to find exact solutions is carried out for a generalized unsteady magnetohydrodynamic transport of a rate-type fluid near an unbounded upright plate, which is analyzed for ramped-wall temperature and velocity with constant concentration. The vertical plate is suspended in a porous medium and encounters the effects of radiation. An innovative definition of the time-fractional operator in power-law-kernel form is implemented to hypothesize the constitutive mass, energy, and momentum equations. The Laplace integral transformation technique is applied on a dimensionless form of governing partial differential equations by introducing some non-dimensional suitable parameters to establish the exact expressions in terms of special functions for ramped velocity, temperature, and constant-concentration fields. In order to validate the problem, the absence of the mass Grashof parameter led to the investigated solutions obtaining good agreement in existing literature. Additionally, several system parameters were used, such as as magnetic value M, Prandtl value Pr, Maxwell parameter λ, dimensionless time τ, Schmidt number “Sc”, fractional parameter α, andMass and Thermal Grashof numbers Gm and Gr, respectively, to examine their impacts on velocity, wall temperature, and constant concentration. Results are also discussed in detail and demonstrated graphically via Mathcad-15 software. A comprehensive comparative study between fractional and non-fractional models describes that the fractional model elucidate the memory effects more efficiently.

A variety of fractional soliton solutions for three important coupled models arising in mathematical physics

This paper deals with the optical solitons of fractional coupled Boussinesq, Burgers-type and mKdV equations by the hypothesis of traveling wave and [Formula: see text]-expansion scheme. These equations are important in different fields such as propagation of long water waves, fluid dynamics, and shallow water wave propagation. In comparison to other analytical procedures, the analytical methodology [Formula: see text] is an incredibly beneficial approach. This technique can also be used with other nonlinear fractional models. The suggested method generates three distinct solutions such as trigonometric, hyperbolic, and rational. Moreover, graphical representation has been used to portray the physical significance of the constructed solutions. Finally, a comprehensive study is made by using a definition of Beta fractional derivative and obtained solutions are represented graphically to understand considered models.

Semianalytical Solutions of Some Nonlinear-Time Fractional Models Using Variational Iteration Laplace Transform Method

In this work, we combined two techniques, the variational iteration technique and the Laplace transform method, in order to solve some nonlinear-time fractional partial differential equations. Although the exact solutions may exist, we introduced the technique VITM that approximates the solutions that are difficult to find. Even a single iteration best approximates the exact solutions. The fractional derivatives being used are in the Caputo-Fabrizio sense. The reliability and efficiency of this newly introduced method is discussed in details from its numerical results and their graphical approximations. Moreover, possible consequences of these results as an application of fixed-point theorem are placed before the experts as an open problem.

An Attractive Approach Associated with Transform Functions for Solving Certain Fractional Swift-Hohenberg Equation

Many phenomena in physics and engineering can be built by linear and nonlinear fractional partial differential equations which are considered an accurate instrument to interpret these phenomena. In the current manuscript, the approximate analytical solutions for linear and nonlinear time-fractional Swift-Hohenberg equations are created and studied by means of a recent superb technique, named the Laplace residual power series (LRPS) technique under the time-Caputo fractional derivatives. The proposed technique is a combination of the generalized Taylor’s formula and the Laplace transform operator, which depends mainly on the concept of limit at infinity to find the unknown functions for the fractional series expansions in the Laplace space with fewer computations and more accuracy comparing with the classical RPS that depends on the Caputo fractional derivative for each step in obtaining the coefficient expansion. To test the simplicity, performance, and applicability of the present method, three numerical problems of the time-fractional Swift-Hohenberg initial value problems are considered. The impact of the fractional order β on the behavior of the approximate solutions at fixed bifurcation parameter is shown graphically and numerically. Obtained results emphasized that the LRPS technique is an easy, efficient, and speed approach for the exact description of the linear and nonlinear time-fractional models that arise in natural sciences.

Solution of Linear Fuzzy Fractional Differential Equations Using Fuzzy Natural Transform

The purpose of this paper is to apply the fuzzy natural transform (FNT) for solving linear fuzzy fractional ordinary differential equations (FFODEs) involving fuzzy Caputo’s H-difference with Mittag-Leffler laws. It is followed by proposing new results on the property of FNT for fuzzy Caputo’s H-difference. An algorithm was then applied to find the solutions of linear FFODEs as fuzzy real functions. More specifically, we first obtained four forms of solutions when the FFODEs is of order α∈(0,1], then eight systems of solutions when the FFODEs is of order α∈(1,2] and finally, all of these solutions are plotted using MATLAB. In fact, the proposed approach is an effective and practical to solve a wide range of fractional models.

Numerical solvability of generalized Bagley–Torvik fractional models under Caputo–Fabrizio derivative

This paper deals with the generalized Bagley–Torvik equation based on the concept of the Caputo–Fabrizio fractional derivative using a modified reproducing kernel Hilbert space treatment. The generalized Bagley–Torvik equation is studied along with initial and boundary conditions to investigate numerical solution in the Caputo–Fabrizio sense. Regarding the generalized Bagley–Torvik equation with initial conditions, in order to have a better approach and lower cost, we reformulate the issue as a system of fractional differential equations while preserving the second type of these equations. Reproducing kernel functions are established to construct an orthogonal system used to formulate the analytical and approximate solutions of both equations in the appropriate Hilbert spaces. The feasibility of the proposed method and the effect of the novel derivative with the nonsingular kernel were verified by listing and treating several numerical examples with the required accuracy and speed. From a numerical point of view, the results obtained indicate the accuracy, efficiency, and reliability of the proposed method in solving various real life problems.