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Stochastic Calculus for Fractional Brownian Motion and Applications

Author : Francesca Biagini

Publisher : Springer Science & Business Media

Page : 331 pages

File Size : 26,77 MB

Release : 2008-02-17

Category : Mathematics

ISBN : 1846287979

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Book Description

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.



Fractional Fields and Applications

Author : Serge Cohen

Publisher : Springer Science & Business Media

Page : 281 pages

File Size : 14,42 MB

Release : 2013-05-29

Category : Mathematics

ISBN : 3642367399

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Book Description

This book focuses mainly on fractional Brownian fields and their extensions. It has been used to teach graduate students at Grenoble and Toulouse's Universities. It is as self-contained as possible and contains numerous exercises, with solutions in an appendix. After a foreword by Stéphane Jaffard, a long first chapter is devoted to classical results from stochastic fields and fractal analysis. A central notion throughout this book is self-similarity, which is dealt with in a second chapter with a particular emphasis on the celebrated Gaussian self-similar fields, called fractional Brownian fields after Mandelbrot and Van Ness's seminal paper. Fundamental properties of fractional Brownian fields are then stated and proved. The second central notion of this book is the so-called local asymptotic self-similarity (in short lass), which is a local version of self-similarity, defined in the third chapter. A lengthy study is devoted to lass fields with finite variance. Among these lass fields, we find both Gaussian fields and non-Gaussian fields, called Lévy fields. The Lévy fields can be viewed as bridges between fractional Brownian fields and stable self-similar fields. A further key issue concerns the identification of fractional parameters. This is the raison d'être of the statistics chapter, where generalized quadratic variations methods are mainly used for estimating fractional parameters. Last but not least, the simulation is addressed in the last chapter. Unlike the previous issues, the simulation of fractional fields is still an area of ongoing research. The algorithms presented in this chapter are efficient but do not claim to close the debate.



Fractional Dynamics

Author : Vasily E. Tarasov

Publisher : Springer Science & Business Media

Page : 504 pages

File Size : 14,10 MB

Release : 2011-01-04

Category : Science

ISBN : 3642140033

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Book Description

"Fractional Dynamics: Applications of Fractional Calculus to Dynamics of Particles, Fields and Media" presents applications of fractional calculus, integral and differential equations of non-integer orders in describing systems with long-time memory, non-local spatial and fractal properties. Mathematical models of fractal media and distributions, generalized dynamical systems and discrete maps, non-local statistical mechanics and kinetics, dynamics of open quantum systems, the hydrodynamics and electrodynamics of complex media with non-local properties and memory are considered. This book is intended to meet the needs of scientists and graduate students in physics, mechanics and applied mathematics who are interested in electrodynamics, statistical and condensed matter physics, quantum dynamics, complex media theories and kinetics, discrete maps and lattice models, and nonlinear dynamics and chaos. Dr. Vasily E. Tarasov is a Senior Research Associate at Nuclear Physics Institute of Moscow State University and an Associate Professor at Applied Mathematics and Physics Department of Moscow Aviation Institute.



Advances in Fractional Calculus

Author : J. Sabatier

Publisher : Springer Science & Business Media

Page : 550 pages

File Size : 48,69 MB

Release : 2007-07-28

Category : Technology & Engineering

ISBN : 1402060424

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Book Description

In the last two decades, fractional (or non integer) differentiation has played a very important role in various fields such as mechanics, electricity, chemistry, biology, economics, control theory and signal and image processing. For example, in the last three fields, some important considerations such as modelling, curve fitting, filtering, pattern recognition, edge detection, identification, stability, controllability, observability and robustness are now linked to long-range dependence phenomena. Similar progress has been made in other fields listed here. The scope of the book is thus to present the state of the art in the study of fractional systems and the application of fractional differentiation. As this volume covers recent applications of fractional calculus, it will be of interest to engineers, scientists, and applied mathematicians.



New Trends in Nanotechnology and Fractional Calculus Applications

Author : Dumitru Baleanu

Publisher : Springer Science & Business Media

Page : 518 pages

File Size : 38,44 MB

Release : 2010-03-14

Category : Technology & Engineering

ISBN : 9048132932

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Book Description

In recent years fractional calculus has played an important role in various fields such as mechanics, electricity, chemistry, biology, economics, modeling, identification, control theory and signal processing. The scope of this book is to present the state of the art in the study of fractional systems and the application of fractional differentiation. Furthermore, the manufacture of nanowires is important for the design of nanosensors and the development of high-yield thin films is vital in procuring clean solar energy. This wide range of applications is of interest to engineers, physicists and mathematicians.



Theory and Applications of Fractional Differential Equations

Author : A.A. Kilbas

Publisher : Elsevier

Page : 550 pages

File Size : 21,72 MB

Release : 2006-02-16

Category : Mathematics

ISBN : 9780444518323

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Book Description

This work aims to present, in a systematic manner, results including the existence and uniqueness of solutions for the Cauchy Type and Cauchy problems involving nonlinear ordinary fractional differential equations.



Fractional Derivatives for Physicists and Engineers

Author : Vladimir V. Uchaikin

Publisher : Springer Science & Business Media

Page : 400 pages

File Size : 11,17 MB

Release : 2013-07-09

Category : Science

ISBN : 3642339115

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Book Description

The first derivative of a particle coordinate means its velocity, the second means its acceleration, but what does a fractional order derivative mean? Where does it come from, how does it work, where does it lead to? The two-volume book written on high didactic level answers these questions. Fractional Derivatives for Physicists and Engineers— The first volume contains a clear introduction into such a modern branch of analysis as the fractional calculus. The second develops a wide panorama of applications of the fractional calculus to various physical problems. This book recovers new perspectives in front of the reader dealing with turbulence and semiconductors, plasma and thermodynamics, mechanics and quantum optics, nanophysics and astrophysics. The book is addressed to students, engineers and physicists, specialists in theory of probability and statistics, in mathematical modeling and numerical simulations, to everybody who doesn't wish to stay apart from the new mathematical methods becoming more and more popular. Prof. Vladimir V. UCHAIKIN is a known Russian scientist and pedagogue, a Honored Worker of Russian High School, a member of the Russian Academy of Natural Sciences. He is the author of about three hundreds articles and more than a dozen books (mostly in Russian) in Cosmic ray physics, Mathematical physics, Levy stable statistics, Monte Carlo methods with applications to anomalous processes in complex systems of various levels: from quantum dots to the Milky Way galaxy.



Fractional Order Signal Processing

Author : Saptarshi Das

Publisher : Springer Science & Business Media

Page : 110 pages

File Size : 50,49 MB

Release : 2011-09-15

Category : Technology & Engineering

ISBN : 3642231179

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Book Description

The book tries to briefly introduce the diverse literatures in the field of fractional order signal processing which is becoming an emerging topic among an interdisciplinary community of researchers. This book is aimed at postgraduate and beginning level research scholars who would like to work in the field of Fractional Order Signal processing (FOSP). The readers should have preliminary knowledge about basic signal processing techniques. Prerequisite knowledge of fractional calculus is not essential and is exposited at relevant places in connection to the appropriate signal processing topics. Basic signal processing techniques like filtering, estimation, system identification, etc. in the light of fractional order calculus are presented along with relevant application areas. The readers can easily extend these concepts to varied disciplines like image or speech processing, pattern recognition, time series forecasting, financial data analysis and modeling, traffic modeling in communication channels, optics, biomedical signal processing, electrochemical applications and many more. Adequate references are provided in each category so that the researchers can delve deeper into each area and broaden their horizon of understanding. Available MATLAB tools to simulate FOSP theories are also introduced so that the readers can apply the theoretical concepts right-away and gain practical insight in the specific domain.



Applications Of Fractional Calculus In Physics

Author : Rudolf Hilfer

Publisher : World Scientific

Page : 473 pages

File Size : 33,36 MB

Release : 2000-03-02

Category : Science

ISBN : 9814496200

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Book Description

Fractional calculus is a collection of relatively little-known mathematical results concerning generalizations of differentiation and integration to noninteger orders. While these results have been accumulated over centuries in various branches of mathematics, they have until recently found little appreciation or application in physics and other mathematically oriented sciences. This situation is beginning to change, and there are now a growing number of research areas in physics which employ fractional calculus.This volume provides an introduction to fractional calculus for physicists, and collects easily accessible review articles surveying those areas of physics in which applications of fractional calculus have recently become prominent.



Fractional Calculus

Author : Roy Abi Zeid Daou

Publisher : Nova Science Publishers

Page : 0 pages

File Size : 46,56 MB

Release : 2014-01-11

Category : Fractional calculus

ISBN : 9781634630023

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Book Description

The first volume of this two-volume book, presents history, the mathematical modelling and the applications of fractional order systems, and contains mathematical and theoretical studies and research related to this domain. This volume is made up of 11 chapters. The first chapter presents an analysis of the Caputo derivative and the pseudo state representation with the infinite state approach. The second chapter studies the stability of a class of fractional Cauchy problems. The third chapter shows how to solve fractional order differential equations and fractional order partial differential equations using modern matrix algebraic approaches. Following this chapter, chapter four proposes another analytical method to solve differential equations with local fractional derivative operators. Concerning chapter five, it presents the extended Borel transform and its related fractional analysis. After presenting the analytical resolution methods for fractional calculus, chapter six shows the essentials of fractional calculus on discrete settings. The initialisation of such systems is shown in chapter seven. In fact, this chapter presents a generalised application of the Hankel operator for initialisation of fractional order systems. The last four chapters show some new studies and applications of non-integer calculus. In fact, chapter eight presents the fractional reaction-transport equations and evanescent continuous time random walks. Chapter nine shows a novel approach in the exponential integrators for fractional differential equations. Chapter ten presents the non-fragile tuning of fractional order PD controllers for integrating time delay systems. At the end, chapter eleven proposes a discrete finite-dimensional approximation of linear infinite dimensional systems. To sum up, this volume presents a mathematical and theoretical study of fractional calculus along with a stability study and some applications. This volume ends up with some new techniques and methods applied in fractional calculus. This volume will be followed up by a second volume that focuses on the applications of fractional calculus in several engineering domains.