Recently, the financial mathematics has been emerged to interpret and predict the underlying mechanism that generates an incident of concern. A system of differential equations can reveal a dynamical development of financial mechanism across time. Multivariate wiener process represents the stochastic term in a system of stochastic differential equations (SDE). The standard wiener process follows a Markov chain, and hence it is a martingale (kind of Markov chain), which is a good integrator. Though, the fractional Wiener process does not follow a Markov chain, hence it is not a good integrator. This problem will produce an Arbitrage (non-equilibrium in the market) in the predicted series. It is undesired property that leads to erroneous conclusion, as it is not possible to build a mathematical model, which represents the financial phenomenon. If there is Arbitrage (unbalance) in the market, this can be solved by Wick-Ito-Skorohod stochastic integral (renormalized integral). This paper considers the estimation of a system of fractional stochastic differential equations (FSDE) using maximum likelihood method, although it is time consuming. However, it provides estimates with desirable characteristic with the most important consistency. Langevin method can be used to find the mathematical form of the functions of stochastic differential equations. This includes drift and diffusion by estimating conditional mean and variance from the data and finding the suitable function achieves the least error, and then estimating the parameters of the model by numerical optimal solution search method. Data used in this paper consist of three banking sector stock prices including Baghdad Bank (BBOB), the Commercial Bank (BCOI), and the National Bank (BNOI). © 2020 International University of Sarajevo.
A method for Approximated evaluation of linear functional differential equations is described. where a function approximation as a linear combination of a set of orthogonal basis functions which are chebyshev functions .The coefficients of the approximation are determined by (least square and Galerkin’s) methods. The property of chebyshev polynomials leads to good results , which are demonstrated with examples.
Waveform flow of non-Newtonian fluid through a porous medium of the non-symmetric sloping canal under the effect of rotation and magnetic force, which has applied by the inclined way, have studied analytically and computed numerically. Slip boundary conditions on velocity distribution and stream function are used. We have taken the influence of heat and mass transfer in the consideration in our study. We carried out the mathematical model by using the presumption of low Reynolds number and small wave number. The resulting equations of motion, which are representing by the velocity profile and stream function distribution, solved by using the method of a domain decomposition analysis a
A new Differential Evolution (ARDE) algorithm is introduced that automatically adapt a repository of DE strategies and parameters adaptation schemes of the mutation factor and the crossover rate to avoid the problems of stagnation and make DE responds to a wide range of function characteristics at different stages of the evolution. ARDE algorithm makes use of JADE strategy and the MDE_pBX parameters adaptive schemes as frameworks. Then a new adaptive procedure called adaptive repository (AR) has been developed to select the appropriate combinations of the JADE strategies and the parameter control schemes of the MDE_pBX to generate the next population based on their fitness values. Experimental results have been presented to confirm the reli
... Show MoreThe Caputo definition of fractional derivatives introduces solution to the difficulties appears in the numerical treatment of differential equations due its consistency in differentiating constant functions. In the same time the memory and hereditary behaviors of the time fractional order derivatives (TFODE) still common in all definitions of fractional derivatives. The use of properties of companion matrices appears in reformulating multilevel schemes as generalized two level schemes is employed with the Gerschgorin disc theorems to prove stability condition. Caputo fractional derivatives with finite difference representations is considered. Moreover the effect of using the inverse operator which tr
In This paper, we have been approximated Grűnwald-Letnikov Derivative of a function having m continuous derivatives by Bernstein Chlodowsky polynomials with proving its best approximation. As well as we have been solved Bagley-Torvik equation and Fokker–Planck equation where the derivative is in Grűnwald-Letnikov sense.
This paper proposes a new method to tune a fractional order PID controller. This method utilizes both the analytic and numeric approach to determine the controller parameters. The control design specifications that must be achieved by the control system are gain crossover frequency, phase margin, and peak magnitude at the resonant frequency, where the latter is a new design specification suggested by this paper. These specifications results in three equations in five unknown variables. Assuming that certain relations exist between two variables and discretizing one of them, a performance index can be evaluated and the optimal controller parameters that minimize this performance index are selected. As a case study, a third order linear time
... Show MoreIn this paper fractional Maxwell fluid equation has been solved. The solution is in the Mettag-Leffler form. For the corresponding solutions for ordinary Maxwell fluid are obtained as limiting case of general solutions. Finally, the effects of different parameters on the velocity and shear stress profile are analyzed through plotting the velocity and shear stress profile.
This paper proposes a new structure for a Fractional Order Sliding Mode Controller (FOSMC) to control a Twin Rotor Aerodynamic System (TRAS). The new structure is composed by defining two 3-dimensional sliding mode surfaces for the TRAS model and introducing fractional order derivative integral in the state variables as well as in the control action. The parameters of the controller are determined so as to minimize the Integral of Time multiplied by Absolute Error (ITAE) performance index. Through comparison, this controller outperforms its integer counterpart in many specifications, such as reducing the delay time, rise time, percentage overshoot, settling time, time to reach the sliding surface, and amplitude of chattering in control inpu
... Show MoreThe aims of the paper are to present a modified symmetric fuzzy approach to find the best workable compromise solution for quadratic fractional programming problems (QFPP) with fuzzy crisp in both the objective functions and the constraints. We introduced a modified symmetric fuzzy by proposing a procedure, that starts first by converting the quadratic fractional programming problems that exist in the objective functions to crisp numbers and then converts the linear function that exists in the constraints to crisp numbers. After that, we applied the fuzzy approach to determine the optimal solution for our quadratic fractional programming problem which is supported theoretically and practically. The computer application for the algo
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