Related papers: Fractional Ito calculus
Fractional variation is defined as the limit of the difference quotient of the increments of a function and its argument raised to a fractional power. Fractional velocity can be suitable for characterizing singular behavior of derivatives…
In this work, we consider boundary value problems involving Caputo and Riemann-Liouville fractional derivatives of order $\alpha\in(1,2)$ on the unit interval $(0,1)$. These fractional derivatives lead to non-symmetric boundary value…
The conformable derivative has been promoted in numerous publications as a new fractional derivative operator. This article provides a critical reassessment of this claim. We demonstrate that the conformable derivative is not a fractional…
This work develops change-point methods for statistics of high-frequency data. The main interest is in the volatility of an It\^{o} semi-martingale, the latter being discretely observed over a fixed time horizon. We construct a…
The `local time on curves' formula of Peskir provides a stochastic change of variables formula for a function whose derivatives may be discontinuous over a time-dependent curve, a setting which occurs often in applications in optimal…
In the present paper, we address a class of the fractional derivatives of constant and variable orders for the first time. Fractional-order relaxation equations of constants and variable orders in the sense of Caputo type are modeled from…
Generalised Ito formulae are proved for time dependent functions of continuous real valued semi-martingales. The conditions involve left space and time first derivatives, with the left space derivative required to have locally bounded…
We prove multidimensional integration by parts formulas for generalized fractional derivatives and integrals. The new results allow us to obtain optimality conditions for multidimensional fractional variational problems with Lagrangians…
The weak Stratonovich integral is defined as the limit, in law, of Stratonovich-type symmetric Riemann sums. We derive an explicit expression for the weak Stratonovich integral of $f(B)$ with respect to $g(B)$, where $B$ is a fractional…
This paper develops an It\^o-type fractional pathwise integration theory for fractional Brownian motion with Hurst parameters \( H \in (\frac{1}{3}, \frac{1}{2}] \), using the Lyons' rough path framework. This approach is designed to fill…
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…
We study the concept of (generalized) $p$-th variation of a real-valued continuous function along a general class of refining sequence of partitions. We show that the finiteness of the $p$-th variation of a given function is closely related…
The fractional calculus of variations is now a subject under strong research. Different definitions for fractional derivatives and integrals are used, depending on the purpose under study. In this paper the fractional operators are defined…
We give a proper fractional extension of the classical calculus of variations by considering variational functionals with a Lagrangian depending on a combined Caputo fractional derivative and the classical derivative. Euler-Lagrange…
In this paper, we introduce a new method for calculating fractional integrals and differentials. The method involves an equation that we have obtained from infinite applied integration by parts. The equation works for special class of…
We generalize the fractional Caputo derivative to the fractional derivative ${^CD^{\alpha,\beta}_{\gamma}}$, which is a convex combination of the left Caputo fractional derivative of order $\alpha$ and the right Caputo fractional derivative…
We prove the Ito-Tanaka formula and the existence of pathwise stochastic integrals for a wide class of Gaussian processes. Motivated by financial applications, we define the stochastic integrals as forward-type pathwise integrals introduced…
Path integrals are a central tool when it comes to describing quantum or thermal fluctuations of particles or fields. Their success dates back to Feynman who showed how to use them within the framework of quantum mechanics. Since then, path…
We propose a natural, parameter-free, discrete-variable formulation of Feynman path integrals. We show that for discrete-variable quantum systems, Feynman path integrals take the form of walks on the graph whose weighted adjacency matrix is…
The fractional calculus is useful to model non-local phenomena. We construct a method to evaluate the fractional Caputo derivative by means of a simple explicit quadratic segmentary interpolation. This method yields to numerical resolution…