Analysis of a class of boundary value problems depending on left and right Caputo fractional derivatives

In this work we study boundary value problems associated to a nonlinear fractional ordinary differential equation involving left and right Caputo derivatives. We discuss the regularity of the solutions of such problems and, in particular, give precise necessary conditions so that the solutions are C1([0, 1]). Taking into account our analytical results, we address the numerical solution of those problems by the augmented-RBF method. Several examples illustrate the good performance of the numerical method.P.A. is partially supported by FCT, Portugal, through the program “Investigador FCT” with reference IF/00177/2013 and the scientific projects PEstOE/MAT/UI0208/2013 and PTDC/MAT-CAL/4334/2014. R.F. was supported by the “Fundação para a Ciência e a Tecnologia (FCT)” through the program “Investigador FCT” with reference IF/01345/2014.info:eu-repo/semantics/publishedVersio

Long Memory and Volatility Clustering: is the empirical evidence consistent across stock markets?

Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter alia. One advantage of these models is their ability to capture nonlinear dynamics. Another interesting manner to study the volatility phenomena is by using measures based on the concept of entropy. In this paper we investigate the long memory and volatility clustering for the SP 500, NASDAQ 100 and Stoxx 50 indexes in order to compare the US and European Markets. Additionally, we compare the results from conditionally heteroscedastic models with those from the entropy measures. In the latter, we examine Shannon entropy, Renyi entropy and Tsallis entropy. The results corroborate the previous evidence of nonlinear dynamics in the time series considered.Comment: 8 pages; 2 figures; paper presented in APFA 6 conferenc

Dilations of frames, operator valued measures and bounded linear maps

We will give an outline of the main results in our recent AMS Memoir, and include some new results, exposition and open problems. In that memoir we developed a general dilation theory for operator valued measures acting on Banach spaces where operator-valued measures (or maps) are not necessarily completely bounded. The main results state that any operator-valued measure, not necessarily completely bounded, always has a dilation to a projection-valued measure acting on a Banach space, and every bounded linear map, again not necessarily completely bounded, on a Banach algebra has a bounded homomorphism dilation acting on a Banach space. Here the dilation space often needs to be a Banach space even if the underlying space is a Hilbert space, and the projections are idempotents that are not necessarily self-adjoint. These results lead to some new connections between frame theory and operator algebras, and some of them can be considered as part of the investigation about "noncommutative" frame theory.Comment: Contemporary Mathematics, 21 pages. arXiv admin note: substantial text overlap with arXiv:1110.583