Related papers: An Application of Fractional Differential Equation…
Important models in insurance, for example the Carm{\'e}r--Lundberg theory and the Sparre Andersen model, essentially rely on the Poisson process. The process is used to model arrival times of insurance claims. This paper extends the…
We describe a general operational method that can be used in the analysis of fractional initial and boundary value problems with additional analytic conditions. As an example, we derive analytic solutions of some fractional generalisation…
Fractional equations have become the model of choice in several applications where heterogeneities at the microstructure result in anomalous diffusive behavior at the macroscale. In this work we introduce a new fractional operator…
We investigate evolution equations for anomalous diffusion employing fractional derivatives in space and time. Linkage between the space-time variables leads to a new type of fractional derivative operator. Fractional diffusion equations…
This paper investigates ruin probabilities for a two-dimensional fractional Brownian risk model with a proportional reinsurance scheme. We focus on joint and simultaneous ruin probabilities in a finite-time horizon. The risk processes of…
We prove large deviation principles for two versions of fractional Poisson processes. Firstly we consider the main version which is a renewal process; we also present large deviation estimates for the ruin probabilities of an insurance…
We investigate the properties of some recently developed variable-order differential operators involving order transition functions of exponential type. Since the characterisation of such operators is performed in the Laplace domain it is…
Fractional calculus allows one to generalize the linear, one-dimensional, diffusion equation by replacing either the first time derivative or the second space derivative by a derivative of fractional order. The fundamental solutions of…
Fractional calculus has been used to describe physical systems with complexity. Here, we show that a fractional calculus approach can restore or include complexity in any physical systems that can be described by partial differential…
Fractional Poisson processes, a rapidly growing area of non-Markovian stochastic processes, are useful in statistics to describe data from counting processes when waiting times are not exponentially distributed. We show that the fractional…
We analyze here different types of fractional differential equations, under the assumption that their fractional order $\nu \in (0,1] $ is random\ with probability density $n(\nu).$ We start by considering the fractional extension of the…
The generalized diffusion equations with fractional order derivatives have shown be quite efficient to describe the diffusion in complex systems, with the advantage of producing exact expressions for the underlying diffusive properties.…
The work in this paper is four-fold. Firstly, we introduce an alternative approach to solve fractional ordinary differential equations as an expected value of a random time process. Using the latter, we present an interesting numerical…
We consider fractional directional derivatives and establish some connection with stable densities. Solutions to advection equations involving fractional directional derivatives are presented and some properties investigated. In particular…
Fractional differential equations provide a tractable mathematical framework to describe anomalous behavior in complex physical systems, yet they introduce new sensitive model parameters, i.e. derivative orders, in addition to model…
For fractional derivatives and time-fractional differential equations, we construct a framework on the basis of the operator theory in fractional Sobolev spaces. Our framework provides a feasible extension of the classical Caputo and the…
We introduce a fractional calculus on time scales using the theory of delta (or nabla) dynamic equations. The basic notions of fractional order integral and fractional order derivative on an arbitrary time scale are proposed, using the…
The partial differential equation of Gaussian diffusion is generalized by using the time-fractional derivative of distributed order between 0 and 1, in both the Riemann-Liouville (R-L) and the Caputo (C) sense. For a general distribution of…
We establish new quantitative estimates for localized finite differences of solutions to the Poisson problem for the fractional Laplace operator with homogeneous Dirichlet conditions of solid type settled in bounded domains satisfying the…
Fractional calculus generalizes the derivative and antiderivative operations of differential and integral calculus from integer orders to the entire complex plane. Methods are presented for using this generalized calculus with Laplace…