Related papers: Rough Path Analysis Via Fractional Calculus
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…
The pathway model for the real scalar variable case is re-explored and its connections to fractional integrals, solutions of fractional differential equations, Tsallis statistics and superstatistics in statistical mechanics, reaction-rate…
Combining fractional calculus and the Rough Path Theory we study the existence and uniqueness of mild solutions to evolutions equations driven by a H\"older continuous function with H\"older exponent in $(1/3,1/2)$. Our stochastic integral…
Functional integrals are central to modern theories ranging from quantum mechanics and statistical thermodynamics to biology, chemistry, and finance. In this work we present a new method for calculating functional integrals based on a…
A new calculus based on fractal subsets of the real line is formulated. In this calculus, an integral of order $\alpha, 0 < \alpha \leq 1$, called $F^\alpha$-integral, is defined, which is suitable to integrate functions with fractal…
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…
In the framework of fractional stochastic calculus, we study the existence and the uniqueness of the solution for a backward stochastic differential equation, formally written as: [{[c]{l}% -dY(t)= f(t,\eta(t),Y(t),Z(t))dt-Z(t)\delta…
The essentials of fractional calculus according to different approaches that can be useful for our applications in the theory of probability and stochastic processes are established. In addition to this, from this fractional integral one…
The theta process is a stochastic process of number theoretical origin arising as a scaling limit of quadratic Weyl sums. It can be described in terms of the geodesic flow and an automorphic function on a homogeneous space. This process has…
Within the context of rough path analysis via fractional calculus, we show how variability can be used to prove the existence of integrals with respect to H\"older continuous multiplicative functionals in the case of Lipschitz coefficients…
In this paper we provide a definition of fractional gradient operators, related to directional derivatives. We develop a fractional vector calculus, providing a probabilistic interpretation and mathematical tools to treat multidimensional…
We derive estimates for the solutions to differential equations driven by a H\"older continuous function of order $\beta>1/2$. As an application we deduce the existence of moments for the solutions to stochastic partial differential…
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…
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…
In this paper, we delve into the fascinating realm of fractal calculus applied to fractal sets and fractal curves. Our study includes an exploration of the method analogues of the separable method and the integrating factor technique for…
We develop a Fourier approach to rough path integration, based on the series decomposition of continuous functions in terms of Schauder functions. Our approach is rather elementary, the main ingredient being a simple commutator estimate,…
In this paper, we apply rough paths techniques to provide an approximation of the solution of stochastic functional differential equations driven by fractional Brownian motion with Hurst parameter $H>1/2$. Here, the involved stochastic…
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…
Let $B=(B_1(t),..,B_d(t))$ be a $d$-dimensional fractional Brownian motion with Hurst index $\alpha\le 1/4$, or more generally a Gaussian process whose paths have the same local regularity. Defining properly iterated integrals of $B$ is a…
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…