Stochastic Calculus for Fractional Brownian Motion and Applications PDF Download
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Author: Francesca Biagini
Publisher: Springer Science & Business Media
ISBN: 1846287979
Category : Mathematics
Languages : en
Pages : 331
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Book Description
The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the resulting theory. Particular emphasis is placed on studying the relations between the different approaches. Readers are assumed to be familiar with probability theory and stochastic analysis, although the mathematical techniques used in the book are thoroughly exposed and some of the necessary prerequisites, such as classical white noise theory and fractional calculus, are recalled in the appendices. This book will be a valuable reference for graduate students and researchers in mathematics, biology, meteorology, physics, engineering and finance.
Author: Francesca Biagini
Publisher: Springer Science & Business Media
ISBN: 1846287979
Category : Mathematics
Languages : en
Pages : 331
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Book Description
The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the resulting theory. Particular emphasis is placed on studying the relations between the different approaches. Readers are assumed to be familiar with probability theory and stochastic analysis, although the mathematical techniques used in the book are thoroughly exposed and some of the necessary prerequisites, such as classical white noise theory and fractional calculus, are recalled in the appendices. This book will be a valuable reference for graduate students and researchers in mathematics, biology, meteorology, physics, engineering and finance.
Author: Serge Cohen
Publisher: Springer Science & Business Media
ISBN: 3642367399
Category : Mathematics
Languages : en
Pages : 281
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Book Description
This book focuses mainly on fractional Brownian fields and their extensions. It has been used to teach graduate students at Grenoble and Toulouse's Universities. It is as self-contained as possible and contains numerous exercises, with solutions in an appendix. After a foreword by Stéphane Jaffard, a long first chapter is devoted to classical results from stochastic fields and fractal analysis. A central notion throughout this book is self-similarity, which is dealt with in a second chapter with a particular emphasis on the celebrated Gaussian self-similar fields, called fractional Brownian fields after Mandelbrot and Van Ness's seminal paper. Fundamental properties of fractional Brownian fields are then stated and proved. The second central notion of this book is the so-called local asymptotic self-similarity (in short lass), which is a local version of self-similarity, defined in the third chapter. A lengthy study is devoted to lass fields with finite variance. Among these lass fields, we find both Gaussian fields and non-Gaussian fields, called Lévy fields. The Lévy fields can be viewed as bridges between fractional Brownian fields and stable self-similar fields. A further key issue concerns the identification of fractional parameters. This is the raison d'être of the statistics chapter, where generalized quadratic variations methods are mainly used for estimating fractional parameters. Last but not least, the simulation is addressed in the last chapter. Unlike the previous issues, the simulation of fractional fields is still an area of ongoing research. The algorithms presented in this chapter are efficient but do not claim to close the debate.
Author: Vasily E. Tarasov
Publisher: Springer Science & Business Media
ISBN: 3642140033
Category : Science
Languages : en
Pages : 504
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Book Description
"Fractional Dynamics: Applications of Fractional Calculus to Dynamics of Particles, Fields and Media" presents applications of fractional calculus, integral and differential equations of non-integer orders in describing systems with long-time memory, non-local spatial and fractal properties. Mathematical models of fractal media and distributions, generalized dynamical systems and discrete maps, non-local statistical mechanics and kinetics, dynamics of open quantum systems, the hydrodynamics and electrodynamics of complex media with non-local properties and memory are considered. This book is intended to meet the needs of scientists and graduate students in physics, mechanics and applied mathematics who are interested in electrodynamics, statistical and condensed matter physics, quantum dynamics, complex media theories and kinetics, discrete maps and lattice models, and nonlinear dynamics and chaos. Dr. Vasily E. Tarasov is a Senior Research Associate at Nuclear Physics Institute of Moscow State University and an Associate Professor at Applied Mathematics and Physics Department of Moscow Aviation Institute.
Author: J. Sabatier
Publisher: Springer Science & Business Media
ISBN: 1402060424
Category : Technology & Engineering
Languages : en
Pages : 550
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Book Description
In the last two decades, fractional (or non integer) differentiation has played a very important role in various fields such as mechanics, electricity, chemistry, biology, economics, control theory and signal and image processing. For example, in the last three fields, some important considerations such as modelling, curve fitting, filtering, pattern recognition, edge detection, identification, stability, controllability, observability and robustness are now linked to long-range dependence phenomena. Similar progress has been made in other fields listed here. The scope of the book is thus to present the state of the art in the study of fractional systems and the application of fractional differentiation. As this volume covers recent applications of fractional calculus, it will be of interest to engineers, scientists, and applied mathematicians.
Author: Dumitru Baleanu
Publisher: Springer Science & Business Media
ISBN: 9048132932
Category : Technology & Engineering
Languages : en
Pages : 518
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Book Description
In recent years fractional calculus has played an important role in various fields such as mechanics, electricity, chemistry, biology, economics, modeling, identification, control theory and signal processing. The scope of this book is to present the state of the art in the study of fractional systems and the application of fractional differentiation. Furthermore, the manufacture of nanowires is important for the design of nanosensors and the development of high-yield thin films is vital in procuring clean solar energy. This wide range of applications is of interest to engineers, physicists and mathematicians.
Author: A.A. Kilbas
Publisher: Elsevier
ISBN: 9780444518323
Category : Mathematics
Languages : en
Pages : 550
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Book Description
This work aims to present, in a systematic manner, results including the existence and uniqueness of solutions for the Cauchy Type and Cauchy problems involving nonlinear ordinary fractional differential equations.
Author: Saptarshi Das
Publisher: Springer Science & Business Media
ISBN: 3642231179
Category : Technology & Engineering
Languages : en
Pages : 110
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Book Description
The book tries to briefly introduce the diverse literatures in the field of fractional order signal processing which is becoming an emerging topic among an interdisciplinary community of researchers. This book is aimed at postgraduate and beginning level research scholars who would like to work in the field of Fractional Order Signal processing (FOSP). The readers should have preliminary knowledge about basic signal processing techniques. Prerequisite knowledge of fractional calculus is not essential and is exposited at relevant places in connection to the appropriate signal processing topics. Basic signal processing techniques like filtering, estimation, system identification, etc. in the light of fractional order calculus are presented along with relevant application areas. The readers can easily extend these concepts to varied disciplines like image or speech processing, pattern recognition, time series forecasting, financial data analysis and modeling, traffic modeling in communication channels, optics, biomedical signal processing, electrochemical applications and many more. Adequate references are provided in each category so that the researchers can delve deeper into each area and broaden their horizon of understanding. Available MATLAB tools to simulate FOSP theories are also introduced so that the readers can apply the theoretical concepts right-away and gain practical insight in the specific domain.
Author: Concepción A. Monje
Publisher: Springer Science & Business Media
ISBN: 1849963355
Category : Technology & Engineering
Languages : en
Pages : 430
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Book Description
Fractional-order Systems and Controls details the use of fractional calculus in the description and modeling of systems, and in a range of control design and practical applications. It is largely self-contained, covering the fundamentals of fractional calculus together with some analytical and numerical techniques and providing MATLAB® codes for the simulation of fractional-order control (FOC) systems. Many different FOC schemes are presented for control and dynamic systems problems. Practical material relating to a wide variety of applications is also provided. All the control schemes and applications are presented in the monograph with either system simulation results or real experimental results, or both. Fractional-order Systems and Controls provides readers with a basic understanding of FOC concepts and methods, so they can extend their use of FOC in other industrial system applications, thereby expanding their range of disciplines by exploiting this versatile new set of control techniques.
Author: Omar Naifar
Publisher: Springer Nature
ISBN: 3030714462
Category : Technology & Engineering
Languages : en
Pages : 224
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Book Description
This book aims to bring together the latest innovative knowledge, analysis, and synthesis of fractional control problems of nonlinear systems as well as some related applications. Fractional order systems (FOS) are dynamical systems that can be modelled by a fractional differential equation carried with a non-integer derivative. In the last few decades, the growth of science and engineering systems has considerably stimulated the employment of fractional calculus in many subjects of control theory, for example, in stability, stabilization, controllability, observability, observer design, and fault estimation. The application of control theory in FOS is an important issue in many engineering applications. So, to accurately describe these systems, the fractional order differential equations have been introduced.
Author: Roy Abi Zeid Daou
Publisher: Nova Science Publishers
ISBN: 9781634630023
Category : Fractional calculus
Languages : en
Pages : 0
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Book Description
The first volume of this two-volume book, presents history, the mathematical modelling and the applications of fractional order systems, and contains mathematical and theoretical studies and research related to this domain. This volume is made up of 11 chapters. The first chapter presents an analysis of the Caputo derivative and the pseudo state representation with the infinite state approach. The second chapter studies the stability of a class of fractional Cauchy problems. The third chapter shows how to solve fractional order differential equations and fractional order partial differential equations using modern matrix algebraic approaches. Following this chapter, chapter four proposes another analytical method to solve differential equations with local fractional derivative operators. Concerning chapter five, it presents the extended Borel transform and its related fractional analysis. After presenting the analytical resolution methods for fractional calculus, chapter six shows the essentials of fractional calculus on discrete settings. The initialisation of such systems is shown in chapter seven. In fact, this chapter presents a generalised application of the Hankel operator for initialisation of fractional order systems. The last four chapters show some new studies and applications of non-integer calculus. In fact, chapter eight presents the fractional reaction-transport equations and evanescent continuous time random walks. Chapter nine shows a novel approach in the exponential integrators for fractional differential equations. Chapter ten presents the non-fragile tuning of fractional order PD controllers for integrating time delay systems. At the end, chapter eleven proposes a discrete finite-dimensional approximation of linear infinite dimensional systems. To sum up, this volume presents a mathematical and theoretical study of fractional calculus along with a stability study and some applications. This volume ends up with some new techniques and methods applied in fractional calculus. This volume will be followed up by a second volume that focuses on the applications of fractional calculus in several engineering domains.
