Related papers: Fractional Ito calculus
Many natural and social systems possess power-law memory, and their mathematical modeling requires the application of discrete and continuous fractional calculus. Most of these systems are nonlinear and demonstrate regular and chaotic…
The calculus of variation and the construction of path integrals is revisited within the framework of non-linear generalized functions. This allows us to make a rigorous analysis of the variation of an action that takes into account the…
Fractional derivatives are a well-studied generalization of integer order derivatives. Naturally, for optimization, it is of interest to understand the convergence properties of gradient descent using fractional derivatives. Convergence…
Recently, fractional differential equations have been investigated via the famous variational iteration method. However, all the previous works avoid the term of fractional derivative and handle them as a restricted variation. In order to…
This article analysis differential equations which represents damped and fractional oscillators. First, it is shown that prior to using physical quantities in fractional calculus, it is imperative that they are turned dimensionless.…
We give a proper fractional extension of the classical calculus of variations. Necessary optimality conditions of Euler-Lagrange type for variational problems containing both classical and fractional derivatives are proved. The fundamental…
We obtain necessary optimality conditions for variational problems with a Lagrangian depending on a Caputo fractional derivative, a fractional and an indefinite integral. Main results give fractional Euler-Lagrange type equations and…
We propose a path integral formulation for scale invariant quantum field theories. We do it by modifying the functional integration measure in such a way that the partition function is always exactly scale invariant, at the cost of having…
A new derivative, called deformable derivative, is introduced here which is equivalent to ordinary derivative in the sense that one implies other. The deformable derivative is defined using limit approach like that of ordinary one but with…
We prove an It\^o-Wentzell formula for the fractional Brownian motion. As an application we derive an existence and uniqueness result for a class of stochastic differential equations driven by this stochastic process.
The statistical properties of non-linear observables of the fractal Gaussian field $\phi(\vec x)$ of negative Hurst exponent $H<0$ in dimension $d$ are revisited with a focus on spatial-averaging observables and on the properties of the…
We introduce a variational theory for processes adapted to the multi-dimensional Brownian motion filtration. The theory provides a differential structure which describes the infinitesimal evolution of Wiener functionals at very small…
In this paper we study the path-regularity and martingale properties of the set-valued stochastic integrals defined in our previous work Ararat et al. (2023). Such integrals have some fundamental differences from the well-known…
We suggest two versions of the Hardy--Littlewood--Sobolev inequality for discrete time martingales. In one version, the fractional integration operator is a martingale transform, however, it may vanish if the filtration is excessively…
We begin with a deformation of a differential graded algebra by adding time and using a homotopy. It is shown that the standard formulae of It\^o calculus are an example, with four caveats: First, it says nothing about probability. Second,…
We show that a pathwise stochastic integral with respect to fractional Brownian motion with an adapted integrand $g$ can have any prescribed distribution, moreover, we give both necessary and sufficient conditions when random variables can…
Motivated by recent development of mean-field systems with common noise, this paper establishes Ito's formula for flows of conditional probability measures under a common filtration associated with general semimartingales. This generalizes…
Fractional Pontryagin's systems emerge in the study of a class of fractional optimal control problems but they are not resolvable in most cases. In this paper, we suggest a numerical approach for these fractional systems. Precisely, we…
We introduce three types of partial fractional operators of variable order. An integration by parts formula for partial fractional integrals of variable order and an extension of Green's theorem are proved. These results allow us to obtain…
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…