Correction to Black-Scholes formula due to fractional stochastic volatility

Empirical studies show that the volatility may exhibit correlations that decay as a fractional power of the time offset. The paper presents a rigorous analysis for the case when the stationary stochastic volatility model is constructed in terms of a fractional Ornstein Uhlenbeck process to have such correlations. It is shown how the associated implied volatility has a term structure that is a function of maturity to a fractional power

Limit of Fractional Power Sobolev Inequalities

We derive the Moser-Trudinger-Onofri inequalities on the 2-sphere and the 4-sphere as the limiting cases of the fractional power Sobolev inequalities on the same spaces, and justify our approach as the dimensional continuation argument initiated by Thomas P. Branson.Comment: 17 page

Chaotic Inflation with a Fractional Power-Law Potential in Strongly Coupled Gauge Theories

Models of chaotic inflation with a fractional power-law potential are not only viable but also testable in the foreseeable future. We show that such models can be realized in simple strongly coupled supersymmetric gauge theories. In these models, the energy scale during inflation is dynamically generated by the dimensional transmutation due to the strong gauge dynamics. Therefore, such models not only explain the origin of the fractional power in the inflationary potential but also provide a reason why the energy scale of inflation is much smaller than the Planck scale.Comment: 5 page

Fractional Integro-Differential Equations for Electromagnetic Waves in Dielectric Media

We prove that the electromagnetic fields in dielectric media whose susceptibility follows a fractional power-law dependence in a wide frequency range can be described by differential equations with time derivatives of noninteger order. We obtain fractional integro-differential equations for electromagnetic waves in a dielectric. The electromagnetic fields in dielectrics demonstrate a fractional power-law relaxation. The fractional integro-differential equations for electromagnetic waves are common to a wide class of dielectric media regardless of the type of physical structure, the chemical composition, or the nature of the polarizing species (dipoles, electrons, or ions)

Modified Laplace transformation method at finite temperature: application to infra-red problems of N component ϕ4\phi^4 theory

Modified Laplace transformation method is applied to N component $\phi^4$ theory and the finite temperature problem in the massless limit is re-examined in the large N limit. We perform perturbation expansion of the dressed thermal mass in the massive case to several orders and try the massless approximation with the help of modified Laplace transformation. The contribution with fractional power of the coupling constant is recovered from the truncated massive series. The use of inverse Laplace transformation with respect to the mass square is crucial in evaluating the coefficients of fractional power terms.Comment: 16pages, Latex, typographical errors are correcte

Fractional Derivative as Fractional Power of Derivative

Definitions of fractional derivatives as fractional powers of derivative operators are suggested. The Taylor series and Fourier series are used to define fractional power of self-adjoint derivative operator. The Fourier integrals and Weyl quantization procedure are applied to derive the definition of fractional derivative operator. Fractional generalization of concept of stability is considered.Comment: 20 pages, LaTe