scholarly journals Novel Approaches for Getting the Solution of the Fractional Black–Scholes Equation Described by Mittag-Leffler Fractional Derivative

2020 ◽  
Vol 2020 ◽  
pp. 1-11
Author(s):  
Ndolane Sene ◽  
Babacar Sène ◽  
Seydou Nourou Ndiaye ◽  
Awa Traoré
Keyword(s):  
Analytical Solution ◽  
Fractional Derivative ◽  
Fractional Order ◽  
Numerical Scheme ◽  
Fractional Derivatives ◽  
Fractional Integration ◽  
Order Derivative ◽  
Graphical Representations ◽  
Fractional Order Derivative ◽  
Black Scholes

The value of an option plays an important role in finance. In this paper, we use the Black–Scholes equation, which is described by the nonsingular fractional-order derivative, to determine the value of an option. We propose both a numerical scheme and an analytical solution. Recent studies in fractional calculus have included new fractional derivatives with exponential kernels and Mittag-Leffler kernels. These derivatives have been found to be applicable in many real-world problems. As fractional derivatives without nonsingular kernels, we use a Caputo–Fabrizio fractional derivative and a Mittag-Leffler fractional derivative. Furthermore, we use the Adams–Bashforth numerical scheme and fractional integration to obtain the numerical scheme and the analytical solution, and we provide graphical representations to illustrate these methods. The graphical representations prove that the Adams–Bashforth approach is helpful in getting the approximate solution for the fractional Black–Scholes equation. Finally, we investigate the volatility of the proposed model and discuss the use of the model in finance. We mainly notice in our results that the fractional-order derivative plays a regulator role in the diffusion process of the Black–Scholes equation.

scholarly journals Novel hyperbolic and exponential ansatz methods to the fractional fifth-order Korteweg–de Vries equations

2020 ◽  
Vol 2020 (1) ◽  
Author(s):  
Choonkil Park ◽  
R. I. Nuruddeen ◽  
Khalid K. Ali ◽  
Lawal Muhammad ◽  
M. S. Osman ◽  
...  
Keyword(s):  
Fractional Derivative ◽  
Fractional Order ◽  
Mathematical Physics ◽  
Order Derivative ◽  
Conformable Fractional Derivative ◽  
Fractional Order Derivative ◽  
De Vries ◽  
Fifth Order ◽  
2D And 3D

Abstract This paper aims to investigate the class of fifth-order Korteweg–de Vries equations by devising suitable novel hyperbolic and exponential ansatze. The class under consideration is endowed with a time-fractional order derivative defined in the conformable fractional derivative sense. We realize various solitons and solutions of these equations. The fractional behavior of the solutions is studied comprehensively by using 2D and 3D graphs. The results demonstrate that the methods mentioned here are more effective in solving problems in mathematical physics and other branches of science.

scholarly journals Analysis of Atangana–Baleanu fractional-order SEAIR epidemic model with optimal control

2021 ◽  
Vol 2021 (1) ◽  
Author(s):  
Chernet Tuge Deressa ◽  
Gemechis File Duressa
Keyword(s):  
Numerical Simulation ◽  
Optimal Control ◽  
Fractional Order ◽  
Control Strategy ◽  
Epidemic Model ◽  
Numerical Scheme ◽  
Order Derivative ◽  
Control Analysis ◽  
Fractional Order Derivative ◽  
Fractional Orders

AbstractWe consider a SEAIR epidemic model with Atangana–Baleanu fractional-order derivative. We approximate the solution of the model using the numerical scheme developed by Toufic and Atangana. The numerical simulation corresponding to several fractional orders shows that, as the fractional order reduces from 1, the spread of the endemic grows slower. Optimal control analysis and simulation show that the control strategy designed is operative in reducing the number of cases in different compartments. Moreover, simulating the optimal profile revealed that reducing the fractional-order from 1 leads to the need for quick starting of the application of the designed control strategy at the maximum possible level and maintaining it for the majority of the period of the pandemic.

A Local Fractional Derivative

2003 ◽  
Author(s):  
Xiaorang Li ◽  
Christopher Essex ◽  
Matt Davison
Keyword(s):  
Fractional Derivative ◽  
Fractional Order ◽  
Local Property ◽  
Order Derivative ◽  
Fractional Order Derivative ◽  
Local Fractional Derivative ◽  
Basic Properties ◽  
Differentiable Functions ◽  
Definition Of

A new definition of fractional order derivative is given and its basic properties are investigated. This definition is based on the Weyl derivative and is a local property of functions. It can be applied to non-differentiable functions and may be useful for studying fractal curves.

Subharmonic Resonance of Duffing Oscillator With Fractional-Order Derivative

2016 ◽  
Vol 11 (5) ◽  
Author(s):  
Nguyen Van Khang ◽  
Truong Quoc Chien
Keyword(s):  
Analytical Solution ◽  
Fractional Order ◽  
Duffing Oscillator ◽  
Existence Condition ◽  
Lyapunov Theory ◽  
Subharmonic Resonance ◽  
System Stability ◽  
Order Derivative ◽  
Fractional Order Derivative ◽  
Approximately Analytical Solution

In this paper, the subharmonic resonance of Duffing oscillator with fractional-order derivative is investigated using the averaging method. First, the approximately analytical solution and the amplitude–frequency equation are obtained. The existence condition for subharmonic resonance based on the approximately analytical solution is then presented, and the corresponding stability condition based on Lyapunov theory is also obtained. Finally, a comparison between the fractional-order and the traditional integer-order of Duffing oscillators is made using numerical simulation. The influences of the parameters in fractional-order derivative on the steady-state amplitude, the amplitude–frequency curves, and the system stability are also investigated.

Geometric interpretation of fractional-order derivative

2016 ◽  
Vol 19 (5) ◽  
Author(s):  
Vasily E. Tarasov
Keyword(s):  
Differential Geometry ◽  
Fractional Order ◽  
Infinite Series ◽  
Fractional Derivatives ◽  
Geometric Interpretation ◽  
Order Derivative ◽  
Jet Bundles ◽  
Fractional Order Derivative ◽  
Integer Order ◽  
Derivatives Of

AbstractA new geometric interpretation of the Riemann-Liouville and Caputo derivatives of non-integer orders is proposed. The suggested geometric interpretation of the fractional derivatives is based on modern differential geometry and the geometry of jet bundles. We formulate a geometric interpretation of the fractional-order derivatives by using the concept of the infinite jets of functions. For this interpretation, we use a representation of the fractional-order derivatives by infinite series with integer-order derivatives. We demonstrate that the derivatives of non-integer orders connected with infinite jets of special type. The suggested infinite jets are considered as a reconstruction from standard jets with respect to order.

scholarly journals A comparison study of steady-state vibrations with single fractional-order and distributed-order derivatives

Open Physics ◽  
2017 ◽  
Vol 15 (1) ◽  
pp. 809-818 ◽  
Author(s):  
Jun-Sheng Duan ◽  
Cui-Ping Cheng ◽  
Lian Chen
Keyword(s):  
Steady State ◽  
Weight Function ◽  
Fractional Order ◽  
Fractional Derivatives ◽  
Order Derivative ◽  
Similar Response ◽  
Driving Frequency ◽  
Fractional Order Derivative ◽  
The One ◽  
Distributed Order

AbstractWe conduct a detailed study and comparison for the one-degree-of-freedom steady-state vibrations under harmonic driving with a single fractional-order derivative and a distributed-order derivative. For each of the two vibration systems, we consider the stiffness contribution factor and damping contribution factor of the term of fractional derivatives, the amplitude and the phase difference for the response. The effects of driving frequency on these response quantities are discussed. Also the influences of the orderαof the fractional derivative and the parameterγparameterizing the weight function in the distributed-order derivative are analyzed. Two cases display similar response behaviors, but the stiffness contribution factor and damping contribution factor of the distributed-order derivative are almost monotonic change with the parameterγ, not exactly like the case of single fractional-order derivative for the orderα. The case of the distributed-order derivative provides us more options for the weight function and parameters.

scholarly journals Numerical Solution of the Bagley-Torvik Equation Using the Integer-Order Derivatives Expansion

2018 ◽  
Vol 6 (2) ◽  
Author(s):  
Afrah Sadiq Hasan
Keyword(s):  
Differential Equation ◽  
Analytical Solution ◽  
Numerical Solution ◽  
Fractional Order ◽  
Infinite Series ◽  
Exact Analytical Solution ◽  
Second Order ◽  
Order Derivative ◽  
Fractional Order Derivative ◽  
Integer Order

Numerical solution of the well-known Bagley-Torvik equation is considered. The fractional-order derivative in the equation is converted, approximately, to ordinary-order derivatives up to second order. Approximated Bagley-Torvik equation is obtained using finite number of terms from the infinite series of integer-order derivatives expansion for the Riemann–Liouville fractional derivative. The Bagley-Torvik equation is a second-order differential equation with constant coefficients. The derived equation, by considering only the first three terms from the infinite series to become a second-order ordinary differential equation with variable coefficients, is numerically solved after it is transformed into a system of first-order ordinary differential equations. The approximation of fractional-order derivative and the order of the truncated error are illustrated through some examples. Comparison between our result and exact analytical solution are made by considering an example with known analytical solution to show the preciseness of our proposed approach.

A Numerical Method for Calculating Fractional Derivative

2015 ◽  
Vol 775 ◽  
pp. 426-430
Author(s):  
Jun Huang ◽  
Yong Jun Li ◽  
Fan Huang
Keyword(s):  
Fractional Derivative ◽  
Numerical Method ◽  
Fractional Order ◽  
High Precision ◽  
Good Stability ◽  
Order Derivative ◽  
Singularity Problem ◽  
Numerical Examples ◽  
Fractional Order Derivative

A numerical method is proposed for calculating the fractional order derivative and successfully resolving the integrand singularity problem based on Zhang-Shimizu algorithm. And then a method is developed to calculate the twice nonlinear fractional derivative, numerical examples demonstrate the numerical method with high precision and good stability.

scholarly journals Fractional Model for a Class of Diffusion-Reaction Equation Represented by the Fractional-Order Derivative

2020 ◽  
Vol 4 (2) ◽  
pp. 15 ◽  
Author(s):  
Ndolane Sene
Keyword(s):  
Analytical Solution ◽  
Diffusion Equation ◽  
Fractional Order ◽  
Integration Method ◽  
Diffusion Reaction ◽  
Order Derivative ◽  
Reaction Equation ◽  
Fractional Model ◽  
Fractional Order Derivative ◽  
The Laplace Transform

This paper proposes the analytical solution for a class of the fractional diffusion equation represented by the fractional-order derivative. We mainly use the Grunwald–Letnikov derivative in this paper. We are particularly interested in the application of the Laplace transform proposed for this fractional operator. We offer the analytical solution of the fractional model as the diffusion equation with a reaction term expressed by the Grunwald–Letnikov derivative by using a double integration method. To illustrate our findings in this paper, we represent the analytical solutions for different values of the used fractional-order derivative.

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