Related papers: Fractional Ito calculus
We present a new smoothness result for Caputo-type fractional ordinary differential equations, which reveals that, subtracting a non-smooth function that can be obtained by the information available, a non-smooth solution belongs to $ C^m $…
We derive an exact path integral formulation for the partition function for the Ising model using a mapping between spins and poles of a Laurent expansion for a field on the complex plane. The advantage in using this formulation for the…
We prove necessary optimality conditions, in the class of continuous functions, for variational problems defined with Jumarie's modified Riemann-Liouville derivative. The fractional basic problem of the calculus of variations with free…
The aim of this paper is to study certain problems of calculus of variations, that are dependent upon a Lagrange function on a Caputo-type fractional derivative. This type of fractional operator is a generalization of the Caputo and the…
Fractional calculus is an effective tool in incorporating the effects of non-locality and memory into physical models. In this regard, successful applications exist rang- ing from signal processing to anomalous diffusion and quantum…
We develop a general framework for pathwise stochastic integration that extends F\"ollmer's classical approach beyond gradient-type integrands and standard left-point Riemann sums and provides pathwise counterparts of It\^o, Stratonovich,…
We introduce a general notion of fractional (noninteger) derivative for functions defined on arbitrary time scales. The basic tools for the time-scale fractional calculus (fractional differentiation and fractional integration) are then…
For a real c\`adl\`ag path $x$ we define sequence of semi-explicit quantities, which do not depend on any partitions and such that whenever $x$ is a path of a c\`adl\`ag semimartingale then these quantities tend a.s. to the continuous part…
Following a hedging based approach to model free financial mathematics, we prove that it should be possible to make an arbitrarily large profit by investing in those one-dimensional paths which do not possess local times. The local time is…
We present a detailed analysis of non-degenerate time-homogeneous It\^o-stochastic differential equations with low local regularity assumptions on the coefficients. In particular the drift coefficient may only satisfy a local integrability…
Fractional calculus is the calculus of differentiation and integration of non-integer orders. In a recently paper (Annals of Physics 323 (2008) 2756-2778), the Fundamental Theorem of Fractional Calculus is highlighted. Based on this…
A generalization of exterior calculus is considered by allowing the partial derivatives in the exterior derivative to assume fractional orders. That is, a fractional exterior derivative is defined. This is found to generate new vector…
We give an Ito type formula for a semi group whose generarator is a positive pseudo-differential operator which does not in general satisfies maximumu principle.
In this paper, we consider Caputo type fractional stochastic time-delay system with permutable matrices. We derive stochastic analogue of variation of constants formula via a newly defined delayed Mittag-Leffer type matrix function. Thus,…
In the preceding articles we considered fractional integral transforms involving one real scalar variable, one real matrix variable and real scalar multivariable case. In the present paper we consider the multivariable case when the…
The theory of fractional calculus in the complex plane was not built with a specific application in mind. The main obstacle to application was the difficulty with obtaining analytic continuations of fractional derivatives and integrals. It…
The estimation of local characteristics of Ito semimartingales has received a great deal of attention in both academia and industry over the past decades. In various papers limit theorems were derived for functionals of increments and…
Fractional integral operators connected with real-valued scalar functions of matrix argument are applied in problems of mathematics, statistics and natural sciences. In this article we start considering the case of a Gauss hypergeometric…
Main results and techniques of the fractional calculus of variations are surveyed. We consider variational problems containing Caputo derivatives and study them using both indirect and direct methods. In particular, we provide necessary…
We study a notion of local time for a continuous path, defined as a limit of suitable discrete quantities along a general sequence of partitions of the time interval. Our approach subsumes other existing definitions and agrees with the…