34,770 research outputs found
Integrability and tail estimates for Gaussian rough differential equations
We derive explicit tail-estimates for the Jacobian of the solution flow for
stochastic differential equations driven by Gaussian rough paths. In
particular, we deduce that the Jacobian has finite moments of all order for a
wide class of Gaussian process including fractional Brownian motion with Hurst
parameter H>1/4. We remark on the relevance of such estimates to a number of
significant open problems.Comment: Published in at http://dx.doi.org/10.1214/12-AOP821 the Annals of
Probability (http://www.imstat.org/aop/) by the Institute of Mathematical
Statistics (http://www.imstat.org
Fractional Noether's theorem in the Riesz-Caputo sense
We prove a Noether's theorem for fractional variational problems with
Riesz-Caputo derivatives. Both Lagrangian and Hamiltonian formulations are
obtained. Illustrative examples in the fractional context of the calculus of
variations and optimal control are given.Comment: Accepted (25/Jan/2010) for publication in Applied Mathematics and
Computatio
Fractional diffusions with time-varying coefficients
This paper is concerned with the fractionalized diffusion equations governing
the law of the fractional Brownian motion . We obtain solutions of
these equations which are probability laws extending that of . Our
analysis is based on McBride fractional operators generalizing the hyper-Bessel
operators and converting their fractional power into
Erd\'elyi--Kober fractional integrals. We study also probabilistic properties
of the r.v.'s whose distributions satisfy space-time fractional equations
involving Caputo and Riesz fractional derivatives. Some results emerging from
the analysis of fractional equations with time-varying coefficients have the
form of distributions of time-changed r.v.'s
Numerical Approximations to Fractional Problems of the Calculus of Variations and Optimal Control
This chapter presents some numerical methods to solve problems in the
fractional calculus of variations and fractional optimal control. Although
there are plenty of methods available in the literature, we concentrate mainly
on approximating the fractional problem either by discretizing the fractional
term or expanding the fractional derivatives as a series involving integer
order derivatives. The former method, as a subclass of direct methods in the
theory of calculus of variations, uses finite differences, Grunwald-Letnikov
definition in this case, to discretize the fractional term. Any quadrature rule
for integration, regarding the desired accuracy, is then used to discretize the
whole problem including constraints. The final task in this method is to solve
a static optimization problem to reach approximated values of the unknown
functions on some mesh points.
The latter method, however, approximates fractional problems by classical
ones in which only derivatives of integer order are present. Precisely, two
continuous approximations for fractional derivatives by series involving
ordinary derivatives are introduced. Local upper bounds for truncation errors
are provided and, through some test functions, the accuracy of the
approximations are justified. Then we substitute the fractional term in the
original problem with these series and transform the fractional problem to an
ordinary one. Hereafter, we use indirect methods of classical theory, e.g.
Euler-Lagrange equations, to solve the approximated problem. The methods are
mainly developed through some concrete examples which either have obvious
solutions or the solution is computed using the fractional Euler-Lagrange
equation.Comment: This is a preprint of a paper whose final and definite form appeared
in: Chapter V, Fractional Calculus in Analysis, Dynamics and Optimal Control
(Editor: Jacky Cresson), Series: Mathematics Research Developments, Nova
Science Publishers, New York, 2014. (See
http://www.novapublishers.com/catalog/product_info.php?products_id=46851).
Consists of 39 page
Linearized Asymptotic Stability for Fractional Differential Equations
We prove the theorem of linearized asymptotic stability for fractional
differential equations. More precisely, we show that an equilibrium of a
nonlinear Caputo fractional differential equation is asymptotically stable if
its linearization at the equilibrium is asymptotically stable. As a consequence
we extend Lyapunov's first method to fractional differential equations by
proving that if the spectrum of the linearization is contained in the sector
\{\lambda \in \C : |\arg \lambda| > \frac{\alpha \pi}{2}\} where
denotes the order of the fractional differential equation, then the equilibrium
of the nonlinear fractional differential equation is asymptotically stable
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