Variable order Mittag-Leffler fractional operators on isolated time scales and application to the calculus of variations

We introduce new fractional operators of variable order on isolated time scales with Mittag-Leffler kernels. This allows a general formulation of a class of fractional variational problems involving variable-order difference operators. Main results give fractional integration by parts formulas and necessary optimality conditions of Euler-Lagrange type.Comment: This is a preprint of a paper whose final and definite form is with Springe

Supply driven mortgage choice

Variable mortgage contracts dominate the UK mortgage market (Miles, 2004). The dominance of the variable rate mortgage contracts has important consequences for the transmission mechanism of monetary policy decisions and systemic risks (Khandani et al., 2012; Fuster and Vickery, 2013). This raises an obvious concern that a mortgage market such as that in the UK, where the major proportion of mortgage debt is either at a variable or fixed for less than two years rate (Badarinza, et al., 2013; CML, 2012), is vulnerable to alterations in the interest rate regime. Theoretically, mortgage choice is determined by demand and supply factors. So far, most of the existing literature has focused on the demand side perspective, and what is limited is consideration of supply side factors in empirical investigation on mortgage choice decisions. This paper uniquely explores whether supply side factors may partially explain observed/ex-post mortgage type decisions. Empirical results detect that lenders’ profit motives and mortgage funding/pricing issues may have assisted in preferences toward variable rate contracts. Securitisation is found to positively impact upon gross mortgage lending volumes while negatively impacting upon the share of variable lending flows. This shows that an increase in securitisation not only improves liquidity in the supply of mortgage funds, but also has the potential to shift mortgage choices toward fixed mortgage debt. The policy implications may involve a number of measures, including reconsideration of the capital requirements for the fixed, as opposed to the variable rate mortgage debt, growing securitisation and optimisation of the mortgage pricing policies

Boundary regularity for elliptic systems under a natural growth condition

We consider weak solutions $u \in u_0 + W^{1,2}_0(\Omega,R^N) \cap L^{\infty}(\Omega,R^N)$ of second order nonlinear elliptic systems of the type $- div a (\cdot, u, Du) = b(\cdot,u,Du)$ in $\Omega$ with an inhomogeneity satisfying a natural growth condition. In dimensions $n \in \{2,3,4\}$ we show that $\mathcal{H}^{n-1}$-almost every boundary point is a regular point for $Du$, provided that the boundary data and the coefficients are sufficiently smooth.Comment: revised version, accepted for publication in Ann. Mat. Pura App

Dual identities in fractional difference calculus within Riemann

We Investigate two types of dual identities for Riemann fractional sums and differences. The first type relates nabla and delta type fractional sums and differences. The second type represented by the Q-operator relates left and right fractional sums and differences. These dual identities insist that in the definition of right fractional differences we have to use both the nabla and delta operators. The solution representation for higher order Riemann fractional difference equation is obtained as well

Persistence and cyclical dependence in the monthly Euribor rate

Copyright @ 2011 Brunel UniversityThis paper analyses two well-known features of interest rates, namely their time dependence and their cyclical structure. Specifically, it focuses on the monthly Euribor rate, using monthly data from January 1994 to May 2011. Models based on fractional integration at the long run or zero frequency, although adequately describing the persistent behaviour of the series, do not take into account its cyclical structure. Therefore, a more general cyclical fractional model is considered. Future directions for research in this context are also discussed

Non-Linearities And Fractional Integration In The Us Unemployment Rate

This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach introduces fractional integration and nonlinearities simultaneously into the same framework, using a Lagrange Multiplier procedure with a standard null limit distribution. The empirical results suggest that the US unemployment rate can be specified in terms of a fractionally integrated process, which interacts with some non-linear functions of labour demand variables such as real oil prices and real interest rates. We also find evidence of a long-memory component. Our results are consistent with a hysteresis model with path dependency rather than a NAIRU model with an underlying unemployment equilibrium rate, thereby giving support to more activist stabilisation policies. However, any suitable model should also include business cycle asymmetries, with implications for both forecasting and policy-making